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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 Dec 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   22 25 27 33 33 34 34 34 34 34 34
Closed Higher   10 9 11 13 19 19 16 16 17 13 19
Exceeded High   6 7 7 11 15 16 13 12 13 9 11
Scenario Percentage   60% 78% 64% 85% 79% 84% 81% 75% 76% 69% 58%
Avg Max Increase   4.29% 3.73% 3.74% 4.96% 6.33% 7.07% 4.93% 5.14% 3.98% 4.82% 3.21%
Max Increase   7.46% 6.77% 5.90% 9.66% 22.51% 19.42% 13.74% 9.66% 12.81% 8.91% 8.35%
Avg Days To Max Increase   19 18 16 20 17 20 19 19 15 11 7
Avg Max Decline   -0.40% -1.61% -1.08% -1.48% -0.69% -0.65% -1.60% -0.94% -0.93% -0.80% -0.26%
Max Decline   -0.82% -3.16% -2.63% -3.75% -3.62% -2.92% -6.60% -3.45% -4.19% -2.12% -0.90%
Avg Days to Max Decline   7 10 6 12 10 9 10 6 9 5 2
2010 Contract Condition   Yes Yes   Yes Yes Yes   Yes   Yes Yes
Action   Yes Yes   Yes Yes Yes   No   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   22 25 27 33 33 34 34 34 34 34 34
Closed Lower   12 16 16 20 14 15 18 18 17 21 15
Penetrated Low   9 13 12 14 11 14 16 16 16 18 11
Scenario Percentage   75% 81% 75% 70% 79% 93% 89% 89% 94% 86% 73%
Avg Max Decline   5.85% 4.33% 3.91% 3.65% 4.13% 4.04% 3.73% 3.88% 3.88% 3.12% 2.77%
Max Decline   13.48% 8.05% 14.90% 16.01% 7.87% 11.04% 8.76% 8.91% 9.71% 6.39% 4.40%
Avg Days To Max Decline   19 17 16 15 16 18 19 12 15 12 10
Avg Max Increase   -0.37% -0.73% -0.59% -1.12% -0.81% -0.84% -1.59% -0.86% -0.65% -1.25% -0.20%
Max Increase   -1.54% -1.72% -1.98% -3.44% -1.62% -2.39% -6.01% -3.08% -2.09% -4.28% -1.54%
Avg Days to Max Increase   6 9 6 8 7 9 7 9 3 6 2
2010 Contract Condition       Yes       Yes   Yes    
Action       No       Yes   Yes    
High 106.81 104.44 106.53 105.60 109.04 108.05 113.44 113.73 117.89 116.11 112.21 112.90
Low 101.76 99.88 101.31 102.23 103.82 102.78 107.47 108.44 109.54 107.38 106.79 108.52
Close/Last 101.76 101.99 105.57 104.22 105.81 107.70 111.70 111.21 115.97 107.40 110.78 112.53

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