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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 30, 2011
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   23 25 27 33 34 35 35 35 35 35 35
Closed Higher   10 17 16 17 16 18 13 19 16 17 13
Exceeded High   8 13 14 13 13 15 10 15 11 11 7
Scenario Percentage   80% 76% 88% 76% 81% 83% 77% 79% 69% 65% 54%
Avg Max Increase   4.49% 6.04% 7.01% 4.85% 4.74% 3.58% 5.80% 6.44% 4.44% 4.23% 2.23%
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 17 18 20 19 13 19 16 18 14 10
Avg Max Decline   -0.82% -0.65% -0.60% -1.36% -1.09% -1.17% -1.27% -0.78% -1.10% -0.61% -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   9 12 6 11 6 8 9 9 5 5 2
2011 Contract Condition   Yes Yes Yes Yes   Yes   Yes   Yes  
Action   Yes Yes Yes No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   23 25 27 33 34 35 35 35 35 35 35
Closed Lower   13 8 11 16 18 17 22 16 19 18 22
Penetrated Low   9 5 11 15 16 16 19 13 17 14 14
Scenario Percentage   69% 63% 100% 94% 89% 94% 86% 81% 89% 78% 64%
Avg Max Decline   3.71% 3.82% 3.03% 3.81% 3.92% 3.83% 3.99% 5.18% 3.36% 3.91% 2.06%
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 22 12 13 11 8
Avg Max Increase   -1.16% -0.30% -0.30% -1.50% -0.83% -0.61% -1.61% -0.87% -0.88% -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 10 5 8 4 2
2011 Contract Condition           Yes   Yes   Yes   Yes
Action           Yes   Yes   Yes   Not Yet
High 113.84 116.27 119.42 120.80 124.57 124.57 123.45 123.42 123.88 129.57 123.42 125.70
Low 108.87 113.60 116.06 117.00 119.32 119.09 118.60 119.83 119.19 120.11 116.97 121.61
Close/Last 113.84 116.27 119.42 120.34 124.57 120.00 123.42 122.07 122.43 120.40 123.30 122.73

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