MRCI's ScenarioSM Study

ScenarioSM Study for December Eurodollars(CME) as of Jan 01, 2010
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	27	27	28	28	28	28	28	28	28	28	28
Closed Higher	16	16	9	16	14	20	18	21	19	19	14
Exceeded High	10	15	7	13	13	16	18	20	17	12	7
Scenario Percentage	62%	94%	78%	81%	93%	80%	100%	95%	89%	63%	50%
Avg Max Increase	0.56%	0.43%	0.72%	0.82%	0.64%	0.69%	0.65%	0.79%	0.56%	0.39%	0.22%
Max Increase	1.06%	1.55%	2.37%	2.50%	1.43%	2.29%	2.72%	4.42%	2.88%	1.24%	0.74%
Avg Days To Max Increase	13	17	19	17	20	16	16	17	15	10	8
Avg Max Decline	-0.17%	-0.30%	-0.17%	-0.10%	-0.15%	-0.08%	-0.10%	-0.17%	-0.13%	-0.10%	-0.02%
Max Decline	-0.39%	-0.96%	-0.40%	-0.47%	-0.60%	-0.39%	-0.34%	-0.81%	-0.45%	-0.60%	-0.11%
Avg Days to Max Decline	6	11	6	4	5	7	6	5	7	8	2
2009 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes	Yes	Yes	Yes	Yes	Yes	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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	27	27	28	28	28	28	28	28	28	28	28
Closed Lower	10	11	19	12	14	8	8	7	9	8	13
Penetrated Low	8	11	12	11	10	4	6	3	5	5	11
Scenario Percentage	80%	100%	63%	92%	71%	50%	75%	43%	56%	62%	85%
Avg Max Decline	0.43%	0.72%	0.82%	0.71%	0.36%	0.23%	0.29%	0.89%	0.50%	0.25%	1.69%
Max Decline	0.77%	1.89%	2.63%	2.22%	0.90%	0.41%	0.63%	2.09%	1.37%	0.49%	5.76%
Avg Days To Max Decline	18	18	18	17	15	8	14	21	21	12	9
Avg Max Increase	-0.15%	-0.12%	-0.13%	-0.06%	-0.19%	-0.12%	-0.14%	-0.19%	-0.11%	-0.05%	-0.13%
Max Increase	-0.41%	-0.33%	-0.41%	-0.20%	-0.66%	-0.21%	-0.44%	-0.39%	-0.25%	-0.17%	-0.71%
Avg Days to Max Increase	7	7	5	4	5	9	8	8	13	4	5
2009 Contract Condition	Yes
Action	Yes
High	98.885	98.635	98.770	98.815	99.235	99.165	99.310	99.550	99.645	99.690	99.745
Low	98.330	98.385	98.235	98.570	98.760	98.580	99.090	99.160	99.485	99.600	99.670
Close/Last	98.450	98.455	98.755	98.805	99.060	99.095	99.290	99.540	99.630	99.680	99.712