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