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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 30, 2011
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   23 26 28 34 34 35 35 35 35 35 35
Closed Higher   10 10 12 14 20 20 17 16 18 13 20
Exceeded High   6 8 8 12 16 17 14 12 13 9 12
Scenario Percentage   60% 80% 67% 86% 80% 85% 82% 75% 72% 69% 60%
Avg Max Increase   4.29% 3.86% 3.92% 4.89% 6.21% 6.88% 4.60% 5.14% 3.98% 4.82% 3.07%
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 19 17 19 18 18 18 19 15 11 8
Avg Max Decline   -0.40% -1.67% -0.97% -1.37% -0.78% -0.65% -1.57% -0.94% -0.93% -0.80% -0.39%
Max Decline   -0.82% -3.16% -2.63% -3.75% -3.62% -2.92% -6.60% -3.45% -4.19% -2.12% -1.88%
Avg Days to Max Decline   7 9 6 11 10 9 9 6 9 5 2
2011 Contract Condition     Yes Yes Yes Yes Yes Yes   Yes   Yes
Action     Yes Yes Yes Yes Yes Yes   No   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   23 26 28 34 34 35 35 35 35 35 35
Closed Lower   13 16 16 20 14 15 18 19 17 22 15
Penetrated Low   9 13 12 14 11 14 16 17 16 19 11
Scenario Percentage   69% 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% 3.72% 3.88% 3.01% 2.65%
Max Decline   13.48% 8.05% 14.90% 16.01% 7.87% 11.04% 8.76% 8.91% 9.71% 6.39% 3.97%
Avg Days To Max Decline   19 17 16 15 16 18 19 12 15 12 9
Avg Max Increase   -0.37% -0.73% -0.59% -1.12% -0.81% -0.84% -1.59% -0.90% -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
2011 Contract Condition   Yes             Yes   Yes  
Action   No             Yes   Yes  
High 113.59 109.19 113.13 113.77 116.22 119.47 120.83 124.59 124.74 123.65 123.45 123.41
Low 107.49 106.10 106.21 108.55 113.38 115.89 116.66 119.31 118.64 118.42 119.52 119.09
Close/Last 107.49 106.99 110.86 113.59 116.10 119.24 120.17 124.42 119.76 123.28 121.96 122.34

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