MRCI's ScenarioSM Study

ScenarioSM Study for June Japanese Yen(CME) as of Jan 01, 2010
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	21	23	25	31	32	33	33	33	33	33	33
Closed Higher	8	15	14	16	15	17	12	17	16	16	12
Exceeded High	6	11	12	13	13	14	9	13	11	10	7
Scenario Percentage	75%	73%	86%	81%	87%	82%	75%	76%	69%	62%	58%
Avg Max Increase	4.18%	6.26%	7.51%	4.85%	4.74%	3.81%	6.18%	6.92%	4.44%	4.54%	2.44%
Max Increase	9.36%	22.09%	19.14%	13.75%	9.70%	12.98%	10.78%	19.42%	10.41%	11.16%	4.62%
Avg Days To Max Increase	17	17	19	20	19	14	21	17	18	15	11
Avg Max Decline	-0.59%	-0.59%	-0.39%	-1.36%	-1.09%	-1.05%	-1.19%	-0.70%	-1.10%	-0.60%	-0.38%
Max Decline	-1.21%	-3.57%	-2.70%	-6.37%	-3.34%	-4.02%	-5.98%	-3.20%	-3.17%	-1.10%	-0.99%
Avg Days to Max Decline	11	12	5	11	6	8	8	9	5	5	2
2009 Contract Condition			Yes	Yes	Yes	Yes	Yes			Yes	Yes
Action			Yes	Yes	Yes	Yes	No			Yes	Not Yet

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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	21	23	25	31	32	33	33	33	33	33	33
Closed Lower	13	8	11	15	17	16	21	16	17	17	21
Penetrated Low	9	5	11	14	15	15	18	13	15	13	20
Scenario Percentage	69%	62%	100%	93%	88%	94%	86%	81%	88%	76%	95%
Avg Max Decline	3.71%	3.82%	3.03%	3.83%	4.11%	4.05%	4.08%	5.18%	3.51%	4.38%	7.07%
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	12	15	11	14
Avg Max Increase	-1.16%	-0.30%	-0.30%	-1.25%	-0.80%	-0.51%	-1.62%	-0.87%	-0.86%	-0.50%	-1.34%
Max Increase	-2.75%	-1.16%	-1.33%	-2.71%	-3.44%	-1.91%	-4.15%	-4.50%	-3.24%	-1.90%	-5.56%
Avg Days to Max Increase	9	2	9	6	9	3	11	5	8	4	-32
2009 Contract Condition	Yes	Yes						Yes	Yes
Action	Yes	No						Yes	Yes
High	97.22	94.73	98.47	111.17	107.50	115.09	115.14	113.28	107.03	104.64	106.57
Low	94.36	92.27	93.28	96.37	100.68	105.57	106.08	101.56	100.54	98.67	100.25
Close/Last	94.56	93.60	96.37	102.30	105.57	110.52	111.67	102.42	101.04	101.37	105.11