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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, 2013
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   24 27 29 35 35 36 36 36 36 36 36
Closed Higher   11 10 13 15 21 20 17 17 19 14 20
Exceeded High   7 8 9 13 17 17 14 13 14 10 13
Scenario Percentage   64% 80% 69% 87% 81% 85% 82% 76% 74% 71% 65%
Avg Max Increase   3.88% 3.86% 4.08% 4.60% 5.93% 6.88% 4.60% 4.87% 3.77% 4.75% 3.21%
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   17 19 16 19 19 18 18 20 14 11 9
Avg Max Decline   -0.53% -1.67% -0.97% -1.46% -0.95% -0.65% -1.57% -1.01% -0.99% -0.75% -0.42%
Max Decline   -1.33% -3.16% -2.63% -3.75% -3.68% -2.92% -6.60% -3.45% -4.19% -2.12% -1.88%
Avg Days to Max Decline   10 9 6 10 13 9 9 7 10 5 2
2012 Contract Condition   Yes   Yes Yes Yes     Yes Yes Yes  
Action   Yes   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 Feb
Tested Years   24 27 29 35 35 36 36 36 36 36 36
Closed Lower   13 17 16 20 14 16 19 19 17 22 16
Penetrated Low   9 13 12 14 11 15 16 17 16 19 12
Scenario Percentage   69% 76% 75% 70% 79% 94% 84% 89% 94% 86% 75%
Avg Max Decline   5.85% 4.33% 3.91% 3.65% 4.13% 3.97% 3.73% 3.72% 3.88% 3.11% 2.96%
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 17 16 15 16 19 19 12 15 12 11
Avg Max Increase   -0.37% -0.73% -0.59% -1.12% -0.81% -0.93% -1.59% -0.90% -0.65% -1.25% -0.18%
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 11 7 9 3 6 2
2012 Contract Condition     Yes       Yes Yes       Yes
Action     No       Yes No       Yes
High 127.08 123.66 125.02 125.39 130.14 131.29 131.61 132.79 131.01 130.24 131.40 131.60
Low 120.90 117.59 122.01 123.04 123.38 126.84 128.85 126.09 126.94 126.99 127.79 122.56
Close/Last 120.90 123.66 123.04 124.58 130.14 130.91 130.08 128.45 129.25 130.10 131.34 123.21

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