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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Japanese Yen(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 19 22 24 26 30 31 31 31 31 31 31
Closed Higher 10 9 10 7 15 15 15 12 14 12 16
Exceeded High 9 7 7 6 11 12 11 11 9 8 11
Scenario Percentage 90% 78% 70% 86% 73% 80% 73% 92% 64% 67% 69%
Avg Max Increase 3.85% 4.68% 4.42% 4.95% 6.84% 4.11% 4.56% 5.19% 4.42% 3.99% 2.68%
Max Increase 13.76% 8.66% 13.24% 9.90% 19.60% 10.41% 10.48% 15.22% 10.40% 7.20% 8.13%
Avg Days To Max Increase 20 20 17 19 17 16 14 16 16 13 9
Avg Max Decline -1.39% -0.52% -0.75% -1.25% -0.75% -0.89% -0.79% -1.07% -1.08% -1.16% -0.39%
Max Decline -6.14% -1.36% -2.73% -6.03% -3.10% -3.16% -3.91% -4.06% -2.72% -3.38% -2.67%
Avg Days to Max Decline 11 3 13 11 10 5 7 8 9 6 3
2007 Contract Condition Yes Yes     Yes Yes       Yes Yes
Action Yes Yes     Yes No       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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 19 22 24 26 30 31 31 31 31 31 31
Closed Lower 9 13 14 19 15 16 16 19 17 19 15
Penetrated Low 9 12 14 17 12 14 13 16 14 14 10
Scenario Percentage 100% 92% 100% 89% 80% 88% 81% 84% 82% 74% 67%
Avg Max Decline 3.98% 4.62% 3.64% 3.76% 5.30% 3.54% 4.73% 4.59% 4.42% 3.00% 5.29%
Max Decline 8.63% 8.84% 8.78% 9.65% 10.51% 8.89% 13.18% 8.68% 15.17% 15.70% 23.26%
Avg Days To Max Decline 23 15 15 21 15 17 16 18 15 9 11
Avg Max Increase -1.35% -0.62% -0.26% -1.47% -0.45% -0.98% -0.42% -0.94% -0.82% -1.17% -0.86%
Max Increase -2.52% -2.95% -1.75% -4.05% -2.73% -3.00% -1.94% -2.12% -2.64% -3.88% -2.52%
Avg Days to Max Increase 12 10 5 10 4 12 3 8 6 6 6
2007 Contract Condition     Yes Yes     Yes Yes Yes    
Action     Yes Yes     Yes Yes No    
High 89.23 89.68 90.24 87.25 86.78 88.85 86.93 85.43 83.85 85.26 89.95
Low 87.24 87.82 86.75 84.47 84.37 86.30 85.00 83.12 81.40 81.58 83.86
Close/Last 89.06 89.54 86.75 85.31 86.66 86.73 85.14 83.30 82.01 84.69 86.45

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