|
MRCI's ScenarioSM Study |
ScenarioSM Study for September Japanese Yen(CME) as of May 31, 2010 |
Condition 1:
Higher Monthly Close. Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
Tested Month |
Sep |
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 |
11 |
Scenario Percentage |
|
91% |
82% |
64% |
78% |
75% |
75% |
75% |
92% |
64% |
69% |
65% |
Avg Max Increase |
|
4.68% |
5.08% |
4.42% |
5.73% |
7.07% |
4.11% |
4.60% |
5.06% |
4.42% |
4.10% |
2.82% |
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% |
-0.20% |
Max Decline |
|
-6.14% |
-3.06% |
-2.73% |
-6.03% |
-3.10% |
-3.16% |
-3.91% |
-4.06% |
-2.72% |
-3.38% |
-1.72% |
Avg Days to Max Decline |
|
10 |
6 |
13 |
11 |
9 |
5 |
7 |
7 |
9 |
6 |
2 |
2010 Contract Condition |
|
|
Yes |
|
Yes |
Yes |
|
|
Yes |
|
|
|
Action |
|
|
No |
|
Yes |
Yes |
|
|
Not Yet |
|
|
|
Condition 2:
Lower Monthly Close. Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
Tested Month |
Sep |
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 |
9 |
Scenario Percentage |
|
90% |
92% |
93% |
89% |
81% |
88% |
82% |
85% |
79% |
75% |
56% |
Avg Max Decline |
|
3.98% |
4.62% |
3.64% |
3.76% |
5.17% |
3.45% |
4.72% |
4.50% |
4.44% |
2.89% |
1.79% |
Max Decline |
|
8.63% |
8.84% |
8.78% |
9.65% |
10.51% |
8.89% |
13.18% |
8.68% |
15.17% |
14.67% |
5.50% |
Avg Days To Max Decline |
|
23 |
15 |
15 |
21 |
14 |
16 |
17 |
19 |
16 |
9 |
9 |
Avg Max Increase |
|
-1.35% |
-0.62% |
-0.26% |
-1.47% |
-0.75% |
-0.97% |
-0.48% |
-0.97% |
-0.91% |
-1.13% |
-0.50% |
Max Increase |
|
-2.52% |
-2.95% |
-1.75% |
-4.05% |
-4.35% |
-3.00% |
-1.94% |
-2.12% |
-2.64% |
-3.88% |
-2.28% |
Avg Days to Max Increase |
|
12 |
10 |
5 |
10 |
5 |
11 |
4 |
7 |
6 |
5 |
3 |
2010 Contract Condition |
|
Yes |
|
Yes |
|
|
Yes |
Yes |
|
Yes |
|
|
Action |
|
Yes |
|
Yes |
|
|
Yes |
Yes |
|
|
|
|
High |
112.10 |
113.48 |
116.18 |
116.18 |
111.85 |
112.77 |
113.26 |
109.31 |
113.87 |
110.61 |
|
|
Low |
108.09 |
108.85 |
110.52 |
107.65 |
107.45 |
108.95 |
106.93 |
105.67 |
105.48 |
109.33 |
|
|
Close/Last |
112.10 |
111.52 |
116.18 |
107.65 |
110.93 |
112.67 |
107.12 |
106.63 |
110.33 |
109.80 |
|
|
|
|
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