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