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