|
MRCI's ScenarioSM Study |
ScenarioSM Study for December Eurodollars(CME) as of May 31, 2010 |
Condition 1:
Higher Monthly Close. Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
Tested Month |
Dec |
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 |
|
63% |
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 |
2010 Contract Condition |
|
Yes |
Yes |
|
Yes |
|
Yes |
|
|
|
|
|
Action |
|
Yes |
Yes |
|
Not Yet |
|
|
|
|
|
|
|
Condition 2:
Lower Monthly Close. Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
Tested Month |
Dec |
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 |
8 |
Scenario Percentage |
|
80% |
100% |
63% |
92% |
71% |
50% |
75% |
43% |
56% |
63% |
62% |
Avg Max Decline |
|
0.43% |
0.72% |
0.82% |
0.71% |
0.36% |
0.23% |
0.29% |
0.89% |
0.50% |
0.22% |
0.20% |
Max Decline |
|
0.77% |
1.89% |
2.63% |
2.22% |
0.90% |
0.41% |
0.63% |
2.09% |
1.37% |
0.45% |
0.58% |
Avg Days To Max Decline |
|
18 |
18 |
18 |
17 |
15 |
8 |
14 |
21 |
21 |
8 |
7 |
Avg Max Increase |
|
-0.15% |
-0.12% |
-0.13% |
-0.06% |
-0.19% |
-0.12% |
-0.14% |
-0.19% |
-0.11% |
-0.03% |
-0.01% |
Max Increase |
|
-0.41% |
-0.33% |
-0.41% |
-0.20% |
-0.66% |
-0.21% |
-0.44% |
-0.39% |
-0.25% |
-0.17% |
-0.03% |
Avg Days to Max Increase |
|
7 |
7 |
5 |
4 |
5 |
9 |
8 |
8 |
13 |
2 |
3 |
2010 Contract Condition |
|
|
|
Yes |
|
Yes |
|
|
|
|
|
|
Action |
|
|
|
Yes |
|
Not Yet |
|
|
|
|
|
|
High |
98.950 |
99.035 |
99.205 |
99.240 |
99.325 |
99.250 |
99.045 |
|
|
|
|
|
Low |
98.415 |
98.430 |
98.925 |
99.050 |
99.040 |
98.780 |
98.950 |
|
|
|
|
|
Close/Last |
98.470 |
99.010 |
99.195 |
99.170 |
99.175 |
99.005 |
99.025 |
|
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