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