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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Eurodollars(CME) as of Apr 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   28 28 28 28 28 29 29 29 29 29 29
Closed Higher   19 15 18 15 15 10 16 13 22 21 19
Exceeded High   15 15 18 10 14 8 13 12 17 21 12
Scenario Percentage   79% 100% 100% 67% 93% 80% 81% 92% 77% 100% 63%
Avg Max Increase   0.79% 0.77% 0.62% 0.50% 0.42% 0.66% 0.74% 0.50% 0.46% 0.44% 0.20%
Max Increase   1.59% 1.86% 1.45% 0.99% 1.50% 2.38% 2.39% 1.00% 1.69% 3.82% 0.66%
Avg Days To Max Increase   19 18 18 12 18 17 16 20 17 8 7
Avg Max Decline   -0.08% -0.13% -0.17% -0.12% -0.28% -0.14% -0.09% -0.06% -0.07% -0.05% -0.02%
Max Decline   -0.45% -0.41% -0.67% -0.33% -1.06% -0.34% -0.55% -0.28% -0.27% -0.17% -0.10%
Avg Days to Max Decline   7 9 6 7 11 7 2 3 8 4 1
2011 Contract Condition   Yes   Yes Yes Yes   Yes Yes      
Action   Yes   Yes Yes Yes   Not Yet        
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   28 28 28 28 28 29 29 29 29 29 29
Closed Lower   7 13 9 13 13 19 12 16 7 8 9
Penetrated Low   7 8 8 11 13 12 12 11 2 7 2
Scenario Percentage   100% 62% 89% 85% 100% 63% 100% 69% 29% 88% 22%
Avg Max Decline   0.52% 0.39% 0.52% 0.55% 0.60% 0.72% 0.57% 0.31% 0.19% 0.18% 0.33%
Max Decline   1.27% 0.66% 1.38% 1.93% 1.71% 2.14% 1.82% 0.72% 0.21% 0.38% 0.56%
Avg Days To Max Decline   14 11 15 19 18 18 17 15 11 10 9
Avg Max Increase   -0.05% -0.10% -0.09% -0.14% -0.11% -0.11% -0.05% -0.14% -0.06% -0.12% -0.04%
Max Increase   -0.22% -0.27% -0.29% -0.39% -0.30% -0.31% -0.14% -0.64% -0.07% -0.48% -0.08%
Avg Days to Max Increase   3 3 9 6 6 7 5 6 13 5 4
2011 Contract Condition     Yes       Yes          
Action     Yes       Not Yet          
High 99.430 99.545 99.565 99.450 99.515 99.555 99.610 99.655 99.655      
Low 99.180 99.385 99.230 99.200 99.310 99.380 99.465 99.480 99.645      
Close/Last 99.420 99.540 99.295 99.445 99.480 99.550 99.540 99.645 99.650      

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