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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 Jan 01, 2013
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   24 26 28 34 35 36 36 36 36 36 36
Closed Higher   11 18 16 17 17 19 14 19 16 18 14
Exceeded High   9 14 14 13 14 16 11 15 11 12 8
Scenario Percentage   82% 78% 88% 76% 82% 84% 79% 79% 69% 67% 57%
Avg Max Increase   4.09% 5.69% 7.01% 4.85% 4.52% 3.42% 5.29% 6.44% 4.44% 4.18% 2.25%
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 18 18 20 19 12 18 16 18 13 10
Avg Max Decline   -1.01% -0.70% -0.60% -1.36% -1.10% -1.21% -1.17% -0.78% -1.10% -0.64% -0.39%
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   8 11 6 11 10 9 8 9 5 5 2
2012 Contract Condition   Yes Yes     Yes Yes Yes     Yes Yes
Action   Yes Yes     Yes Yes 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   24 26 28 34 35 36 36 36 36 36 36
Closed Lower   13 8 12 17 18 17 22 17 20 18 22
Penetrated Low   9 5 12 15 16 16 19 14 17 14 15
Scenario Percentage   69% 63% 100% 88% 89% 94% 86% 82% 85% 78% 68%
Avg Max Decline   3.71% 3.82% 2.93% 3.81% 3.92% 3.83% 3.99% 5.12% 3.36% 4.15% 2.26%
Max Decline   16.02% 7.00% 5.74% 8.63% 8.91% 9.06% 9.59% 10.19% 8.53% 13.03% 5.97%
Avg Days To Max Decline   18 15 20 20 15 15 22 13 13 11 10
Avg Max Increase   -1.16% -0.30% -0.42% -1.50% -0.83% -0.61% -1.61% -0.80% -0.88% -0.47% -0.63%
Max Increase   -2.75% -1.16% -1.73% -4.98% -3.44% -2.07% -4.15% -4.50% -3.24% -1.90% -1.81%
Avg Days to Max Increase   9 2 10 7 9 3 10 5 8 4 2
2012 Contract Condition       Yes Yes       Yes Yes    
Action       Yes No       Yes No    
High 125.57 130.36 131.42 131.48 132.57 130.83 130.40 131.50 131.74 124.20 125.47 127.87
Low 123.23 123.57 127.04 129.47 128.00 128.31 128.44 128.01 122.72 118.89 120.11 124.09
Close/Last 124.77 130.36 131.12 130.31 128.68 129.51 130.39 131.50 123.32 120.78 125.36 127.67

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