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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 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   22 24 26 32 33 34 34 34 34 34 34
Closed Higher   9 16 15 16 16 17 13 18 16 16 13
Exceeded High   7 12 13 13 13 14 10 14 11 10 7
Scenario Percentage   78% 75% 87% 81% 81% 82% 77% 78% 69% 63% 54%
Avg Max Increase   4.58% 6.19% 7.28% 4.85% 4.74% 3.81% 5.80% 6.48% 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   18 16 19 20 19 14 19 16 18 15 11
Avg Max Decline   -0.91% -0.54% -0.58% -1.36% -1.09% -1.05% -1.27% -0.70% -1.10% -0.60% -0.38%
Max Decline   -2.84% -3.57% -2.89% -6.37% -3.34% -4.02% -5.98% -3.20% -3.17% -1.10% -0.99%
Avg Days to Max Decline   10 11 6 11 6 8 9 9 5 5 2
2010 Contract Condition   Yes Yes Yes   Yes   Yes Yes     Yes
Action   Yes Yes Yes   No   Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   22 24 26 32 33 34 34 34 34 34 34
Closed Lower   13 8 11 16 17 17 21 16 18 18 21
Penetrated Low   9 5 11 15 15 16 18 13 16 14 14
Scenario Percentage   69% 63% 100% 94% 88% 94% 86% 81% 89% 78% 67%
Avg Max Decline   3.71% 3.82% 3.03% 3.81% 4.11% 3.83% 4.08% 5.18% 3.39% 3.93% 2.12%
Max Decline   16.02% 7.00% 5.74% 8.63% 8.91% 9.06% 9.59% 10.19% 8.53% 11.64% 4.47%
Avg Days To Max Decline   18 15 19 20 15 15 23 12 14 11 8
Avg Max Increase   -1.16% -0.30% -0.30% -1.50% -0.80% -0.61% -1.62% -0.87% -0.94% -0.47% -0.60%
Max Increase   -2.75% -1.16% -1.33% -4.98% -3.44% -2.07% -4.15% -4.50% -3.24% -1.90% -1.81%
Avg Days to Max Increase   9 2 9 7 9 3 11 5 8 4 2
2010 Contract Condition         Yes   Yes     Yes Yes  
Action         Yes   Yes     Yes Yes  
High 105.83 108.89 107.85 113.42 113.70 116.86 116.05 112.24 112.91 113.50 109.23 113.75
Low 102.59 104.25 103.05 107.83 108.62 109.83 107.49 106.90 108.60 106.83 105.58 105.32
Close/Last 104.50 106.06 107.85 111.85 111.32 116.05 107.49 110.84 112.59 107.03 106.51 110.17

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