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