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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Japanese Yen(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 19 21 23 29 30 31 31 31 31 31 31
Closed Higher 7 14 12 15 13 16 10 16 15 15 11
Exceeded High 5 11 10 12 11 13 8 12 11 9 7
Scenario Percentage 71% 79% 83% 80% 85% 81% 80% 75% 73% 60% 64%
Avg Max Increase 3.90% 6.26% 6.87% 4.21% 4.36% 3.78% 5.61% 6.67% 4.44% 4.48% 2.44%
Max Increase 9.36% 22.09% 19.14% 13.75% 9.70% 12.98% 9.94% 19.42% 10.41% 11.16% 4.62%
Avg Days To Max Increase 17 17 18 20 18 13 22 17 18 15 11
Avg Max Decline -0.53% -0.59% -0.20% -1.34% -0.99% -0.82% -1.07% -0.85% -1.10% -0.54% -0.38%
Max Decline -1.21% -3.57% -1.75% -6.37% -2.93% -3.29% -5.98% -3.20% -3.17% -0.94% -0.99%
Avg Days to Max Decline 11 12 4 11 5 8 7 10 5 5 2
2007 Contract Condition       Yes Yes     Yes Yes    
Action       Yes Yes     Yes No    
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 19 21 23 29 30 31 31 31 31 31 31
Closed Lower 12 7 11 14 17 15 21 15 16 16 20
Penetrated Low 8 5 11 14 15 15 18 12 14 12 19
Scenario Percentage 67% 71% 100% 100% 88% 100% 86% 80% 88% 75% 95%
Avg Max Decline 3.87% 3.82% 3.03% 3.83% 4.11% 4.05% 4.08% 5.31% 3.59% 4.37% 7.18%
Max Decline 16.02% 7.00% 5.74% 8.63% 8.91% 9.06% 9.59% 10.19% 8.53% 13.03% 23.63%
Avg Days To Max Decline 18 15 19 19 15 15 23 13 15 12 13
Avg Max Increase -1.28% -0.30% -0.30% -1.25% -0.80% -0.51% -1.62% -0.56% -0.86% -0.44% -1.33%
Max Increase -2.75% -1.16% -1.33% -2.71% -3.44% -1.91% -4.15% -2.45% -3.24% -1.90% -5.60%
Avg Days to Max Increase 10 2 9 6 9 3 11 4 8 3 -34
2007 Contract Condition Yes Yes Yes     Yes Yes     Yes Yes
Action Yes Yes Yes     Yes Yes     Yes Yes
High 91.91 91.23 89.62 88.33 88.77 89.39 86.52 86.33 87.99 85.99 84.47
Low 88.92 88.51 87.64 86.22 86.80 85.75 83.39 83.15 85.28 84.02 82.12
Close/Last 91.11 88.59 87.64 88.13 88.61 85.82 84.36 85.71 85.75 84.17 82.34

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