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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Gold(CMX) 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 34 34 34 34 34 34 34 34 34 34 35
Closed Higher 12 14 16 10 15 17 22 13 17 17 15
Exceeded High 8 9 11 7 12 14 16 10 14 15 11
Scenario Percentage 67% 64% 69% 70% 80% 82% 73% 77% 82% 88% 73%
Avg Max Increase 8.50% 6.84% 7.26% 5.84% 13.13% 12.72% 8.69% 7.04% 12.77% 12.31% 4.82%
Max Increase 24.03% 13.38% 26.39% 12.82% 42.74% 36.10% 21.89% 14.24% 102.79% 61.37% 11.74%
Avg Days To Max Increase 18 16 14 15 18 20 14 11 16 14 13
Avg Max Decline -0.81% -1.04% -1.42% -1.13% -1.90% -0.71% -1.67% -1.34% -2.32% -1.85% -2.00%
Max Decline -1.91% -5.03% -4.28% -3.92% -4.04% -3.70% -6.39% -3.39% -9.50% -9.36% -4.33%
Avg Days to Max Decline 7 9 8 14 7 3 8 2 8 6 3
2009 Contract Condition     Yes Yes     Yes   Yes Yes Yes
Action     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 34 34 34 34 34 34 34 34 34 34 35
Closed Lower 22 19 18 24 19 17 12 21 17 17 20
Penetrated Low 20 16 15 13 16 12 8 16 13 15 13
Scenario Percentage 91% 84% 83% 54% 84% 71% 67% 76% 76% 88% 65%
Avg Max Decline 4.81% 4.63% 6.86% 5.97% 5.68% 8.42% 6.03% 5.59% 7.20% 6.55% 13.91%
Max Decline 11.74% 15.90% 19.71% 21.05% 19.81% 21.59% 12.60% 15.38% 24.75% 19.93% 49.57%
Avg Days To Max Decline 18 19 16 17 16 20 18 13 15 13 16
Avg Max Increase -1.63% -2.37% -1.84% -1.53% -0.98% -1.64% -1.75% -2.28% -1.68% -0.44% -1.68%
Max Increase -9.30% -5.98% -4.94% -5.18% -5.65% -11.82% -5.84% -7.53% -6.56% -2.09% -3.55%
Avg Days to Max Increase 9 11 6 9 8 13 12 10 9 5 8
2009 Contract Condition Yes Yes     Yes Yes   Yes      
Action Yes Yes     Yes Yes   No      
High 1045.0 967.0 949.9 950.0 1004.1 927.5 935.0 938.8 834.5 892.0 930.3
Low 927.2 881.6 866.8 877.3 908.7 782.2 743.9 688.0 699.6 741.2 801.5
Close/Last 935.4 881.6 904.5 942.7 927.7 839.6 886.0 719.6 819.0 884.3 927.3

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