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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, 2013
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   30 30 31 31 31 31 31 31 31 31 31
Closed Higher   19 18 11 18 15 22 20 23 21 22 14
Exceeded High   13 17 8 14 14 18 20 22 19 14 8
Scenario Percentage   68% 94% 73% 78% 93% 82% 100% 96% 90% 64% 57%
Avg Max Increase   0.47% 0.40% 0.66% 0.77% 0.60% 0.65% 0.59% 0.73% 0.51% 0.36% 0.26%
Max Increase   1.06% 1.55% 2.37% 2.50% 1.43% 2.29% 2.72% 4.42% 2.88% 1.47% 0.74%
Avg Days To Max Increase   13 18 19 16 19 17 16 17 14 11 10
Avg Max Decline   -0.15% -0.28% -0.16% -0.10% -0.14% -0.08% -0.09% -0.16% -0.11% -0.11% -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   8 12 5 4 4 6 8 6 7 9 2
2012 Contract Condition   Yes   Yes     Yes Yes Yes Yes Yes  
Action   Yes   No     Yes Yes Yes Yes Not Yet  
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   30 30 31 31 31 31 31 31 31 31 31
Closed Lower   10 12 20 12 16 9 9 8 10 8 15
Penetrated Low   8 11 13 11 10 5 7 3 6 5 9
Scenario Percentage   80% 92% 65% 92% 63% 56% 78% 38% 60% 63% 60%
Avg Max Decline   0.43% 0.72% 0.78% 0.71% 0.36% 0.23% 0.27% 0.89% 0.44% 0.29% 0.25%
Max Decline   0.77% 1.89% 2.63% 2.22% 0.90% 0.41% 0.63% 2.09% 1.37% 0.68% 0.76%
Avg Days To Max Decline   18 18 18 17 15 11 16 21 20 12 10
Avg Max Increase   -0.15% -0.12% -0.13% -0.06% -0.19% -0.10% -0.13% -0.19% -0.10% -0.05% -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 6 4 5 15 8 8 16 4 2
2012 Contract Condition     Yes     Yes            
Action     No     No            
High 99.375 99.510 99.550 99.520 99.490 99.500 99.540 99.645 99.655 99.690 99.720 99.700
Low 99.160 99.225 99.385 99.385 99.395 99.285 99.340 99.475 99.575 99.620 99.660 99.665
Close/Last 99.245 99.500 99.465 99.480 99.480 99.390 99.495 99.630 99.645 99.680 99.685 99.685

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