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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Japanese Yen(CME) as of Jan 01, 2009
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 Feb
Tested Years   20 23 25 31 31 32 32 32 32 32 32
Closed Higher   9 8 11 12 18 17 15 14 16 11 18
Exceeded High   5 6 7 10 14 14 12 11 12 8 11
Scenario Percentage   56% 75% 64% 83% 78% 82% 80% 79% 75% 73% 61%
Avg Max Increase   4.26% 3.80% 3.74% 4.74% 6.38% 6.56% 4.27% 4.76% 3.95% 5.61% 3.58%
Max Increase   7.46% 6.77% 5.90% 9.66% 22.51% 19.42% 13.74% 9.66% 12.81% 10.77% 9.86%
Avg Days To Max Increase   19 19 16 19 18 19 20 19 14 13 9
Avg Max Decline   -0.34% -1.35% -1.08% -1.34% -0.72% -0.53% -1.57% -1.03% -0.66% -0.65% -0.26%
Max Decline   -0.82% -3.09% -2.63% -3.75% -3.62% -2.85% -6.60% -3.45% -3.58% -2.12% -0.90%
Avg Days to Max Decline   9 11 6 12 11 8 10 6 9 4 2
2008 Contract Condition         Yes Yes Yes   Yes   Yes Yes
Action         Yes No 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 Feb
Tested Years   20 23 25 31 31 32 32 32 32 32 32
Closed Lower   11 15 14 19 13 15 17 18 16 21 14
Penetrated Low   8 12 11 13 11 14 15 16 15 18 10
Scenario Percentage   73% 80% 79% 68% 85% 93% 88% 89% 94% 86% 71%
Avg Max Decline   6.09% 4.47% 3.88% 3.74% 4.13% 4.04% 3.75% 3.88% 4.10% 3.15% 2.92%
Max Decline   13.48% 8.05% 14.90% 16.01% 7.87% 11.04% 8.76% 8.91% 9.71% 6.39% 4.89%
Avg Days To Max Decline   19 16 16 15 16 18 18 12 16 12 11
Avg Max Increase   -0.31% -0.70% -0.48% -1.19% -0.81% -0.84% -1.30% -0.86% -0.55% -1.25% -0.12%
Max Increase   -1.54% -1.72% -1.98% -3.44% -1.62% -2.39% -2.88% -3.08% -2.00% -4.28% -1.54%
Avg Days to Max Increase   6 6 6 9 7 9 6 9 3 6 2
2008 Contract Condition   Yes Yes Yes       Yes   Yes    
Action   Yes Yes No       No   No    
High 90.50 88.71 87.24 85.63 86.94 91.63 90.71 89.72 94.44 92.50 95.65 96.57
Low 88.18 86.89 85.02 83.27 83.50 85.75 87.72 86.29 87.56 87.92 90.22 92.25
Close/Last 88.57 86.98 85.14 83.81 86.52 88.36 88.82 88.01 91.06 90.13 94.25 96.29

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