MRCI's ScenarioSM Study

ScenarioSM Study for September Japanese Yen(CME) as of Jan 01, 2010
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	21	24	26	28	32	33	33	33	33	33	33
Closed Higher	11	11	11	9	16	16	16	13	14	13	17
Exceeded High	10	9	7	7	12	12	12	12	9	9	12
Scenario Percentage	91%	82%	64%	78%	75%	75%	75%	92%	64%	69%	71%
Avg Max Increase	4.68%	5.08%	4.42%	5.73%	7.07%	4.11%	4.60%	5.06%	4.42%	4.10%	2.71%
Max Increase	13.76%	8.75%	13.24%	10.42%	19.60%	10.41%	10.48%	15.22%	10.40%	7.20%	8.13%
Avg Days To Max Increase	20	20	17	18	17	16	15	16	16	13	9
Avg Max Decline	-1.37%	-0.75%	-0.75%	-1.34%	-0.59%	-0.89%	-0.82%	-1.30%	-1.08%	-1.37%	-0.40%
Max Decline	-6.14%	-3.06%	-2.73%	-6.03%	-3.10%	-3.16%	-3.91%	-4.06%	-2.72%	-3.38%	-2.67%
Avg Days to Max Decline	10	6	13	11	9	5	7	7	9	6	3
2009 Contract Condition	Yes	Yes	Yes	Yes			Yes	Yes		Yes	Yes
Action	Yes	Yes	No	No			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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years	21	24	26	28	32	33	33	33	33	33	33
Closed Lower	10	13	15	19	16	17	17	20	19	20	16
Penetrated Low	9	12	14	17	13	15	14	17	15	15	11
Scenario Percentage	90%	92%	93%	89%	81%	88%	82%	85%	79%	75%	69%
Avg Max Decline	3.98%	4.62%	3.64%	3.76%	5.17%	3.45%	4.72%	4.50%	4.44%	2.89%	4.94%
Max Decline	8.63%	8.84%	8.78%	9.65%	10.51%	8.89%	13.18%	8.68%	15.17%	14.67%	23.26%
Avg Days To Max Decline	23	15	15	21	14	16	17	19	16	9	11
Avg Max Increase	-1.35%	-0.62%	-0.26%	-1.47%	-0.75%	-0.97%	-0.48%	-0.97%	-0.91%	-1.13%	-0.96%
Max Increase	-2.52%	-2.95%	-1.75%	-4.05%	-4.35%	-3.00%	-1.94%	-2.12%	-2.64%	-3.88%	-3.02%
Avg Days to Max Increase	12	10	5	10	5	11	4	7	6	5	4
2009 Contract Condition					Yes	Yes			Yes
Action					Yes	Yes			No
High	109.45	106.84	115.25	114.93	113.16	107.19	104.77	106.66	105.99	109.09	108.08
Low	96.92	101.50	105.98	106.54	102.16	100.99	98.94	100.41	101.25	103.20	102.28
Close/Last	102.74	105.98	110.77	111.90	102.72	101.25	101.52	105.21	103.88	105.53	107.56