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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Eurodollars(CME) as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 24 24 25 25 25 25 25 25 25 25 25
Closed Higher 15 13 7 15 13 18 15 18 17 16 12
Exceeded High 9 12 6 12 12 14 15 18 15 10 7
Scenario Percentage 60% 92% 86% 80% 92% 78% 100% 100% 88% 62% 58%
Avg Max Increase 0.53% 0.44% 0.76% 0.85% 0.67% 0.71% 0.69% 0.82% 0.61% 0.45% 0.30%
Max Increase 1.06% 1.55% 2.37% 2.50% 1.43% 2.29% 2.72% 4.42% 2.88% 1.56% 0.74%
Avg Days To Max Increase 13 17 19 16 20 15 15 16 14 9 10
Avg Max Decline -0.17% -0.35% -0.17% -0.11% -0.12% -0.09% -0.10% -0.15% -0.13% -0.12% -0.02%
Max Decline -0.39% -0.96% -0.40% -0.47% -0.60% -0.39% -0.34% -0.76% -0.45% -0.60% -0.11%
Avg Days to Max Decline 5 12 6 5 5 7 6 5 7 9 2
2006 Contract Condition       Yes     Yes Yes Yes   Yes
Action       No     Yes Yes No   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 24 24 25 25 25 25 25 25 25 25 25
Closed Lower 8 11 18 10 12 7 8 7 8 8 12
Penetrated Low 7 11 11 9 8 4 6 3 5 5 11
Scenario Percentage 88% 100% 61% 90% 67% 57% 75% 43% 62% 62% 92%
Avg Max Decline 0.46% 0.72% 0.85% 0.72% 0.35% 0.23% 0.29% 0.89% 0.50% 0.29% 1.71%
Max Decline 0.77% 1.89% 2.63% 2.22% 0.90% 0.41% 0.63% 2.09% 1.37% 0.68% 5.76%
Avg Days To Max Decline 19 18 17 18 15 8 14 21 21 12 9
Avg Max Increase -0.15% -0.12% -0.14% -0.05% -0.21% -0.12% -0.14% -0.19% -0.11% -0.05% -0.13%
Max Increase -0.41% -0.33% -0.41% -0.14% -0.66% -0.21% -0.44% -0.39% -0.25% -0.17% -0.71%
Avg Days to Max Increase 6 7 6 4 6 9 8 8 13 4 4
2006 Contract Condition Yes Yes Yes   Yes Yes       Yes  
Action Yes Yes Yes   Yes Yes       Not Yet  
High 95.395 95.125 95.015 94.820 94.755 94.710 94.560 94.660 94.730 94.695 94.660
Low 95.095 94.855 94.720 94.580 94.545 94.285 94.280 94.460 94.570 94.580 94.600
Close/Last 95.110 94.920 94.745 94.755 94.565 94.405 94.550 94.655 94.665 94.635 94.645

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