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