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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Eurodollars(CME) as of Jan 01, 2013
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   30 30 30 30 30 31 31 31 31 31 31
Closed Higher   21 15 19 17 16 11 17 14 23 22 20
Exceeded High   17 15 19 12 15 8 14 12 18 22 12
Scenario Percentage   81% 100% 100% 71% 94% 73% 82% 86% 78% 100% 60%
Avg Max Increase   0.70% 0.77% 0.59% 0.43% 0.40% 0.66% 0.69% 0.50% 0.44% 0.42% 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   17 18 19 12 18 17 16 20 16 8 7
Avg Max Decline   -0.08% -0.13% -0.17% -0.11% -0.26% -0.14% -0.08% -0.06% -0.06% -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   6 9 6 6 10 7 2 3 8 4 1
2012 Contract Condition   Yes     Yes         Yes Yes  
Action   Yes     Yes         Yes Yes  
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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   30 30 30 30 30 31 31 31 31 31 31
Closed Lower   7 15 10 13 14 20 13 17 8 9 10
Penetrated Low   7 9 8 11 13 12 13 11 2 7 2
Scenario Percentage   100% 60% 80% 85% 93% 60% 100% 65% 25% 78% 20%
Avg Max Decline   0.52% 0.36% 0.52% 0.55% 0.60% 0.72% 0.54% 0.31% 0.19% 0.18% 0.15%
Max Decline   1.27% 0.66% 1.38% 1.93% 1.71% 2.14% 1.82% 0.72% 0.21% 0.38% 0.19%
Avg Days To Max Decline   14 11 15 19 18 18 17 15 11 10 6
Avg Max Increase   -0.05% -0.11% -0.09% -0.14% -0.11% -0.11% -0.04% -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 4 9 6 6 7 5 6 13 5 4
2012 Contract Condition     Yes Yes   Yes   Yes Yes     Yes
Action     No No   No   Yes No     Not Yet
High 99.570 99.450 99.455 99.380 99.530 99.570 99.565 99.520 99.515 99.575 99.630 99.635
Low 99.405 99.255 99.120 99.180 99.240 99.430 99.455 99.430 99.330 99.395 99.510 99.578
Close/Last 99.420 99.440 99.345 99.265 99.520 99.510 99.510 99.500 99.445 99.520 99.615 99.610

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