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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Japanese Yen(CME) as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 21 24 26 30 30 30 30 30 30 30 30
Closed Higher 5 12 11 14 11 14 11 16 15 15 13
Exceeded High 4 8 9 10 10 9 9 13 13 11 6
Scenario Percentage 80% 67% 82% 71% 91% 64% 82% 81% 87% 73% 46%
Avg Max Increase 5.05% 7.49% 4.74% 4.48% 4.94% 4.42% 4.60% 6.33% 6.54% 3.45% 2.35%
Max Increase 9.98% 19.83% 10.37% 9.71% 15.49% 10.93% 9.83% 22.99% 19.82% 8.19% 3.51%
Avg Days To Max Increase 22 19 19 13 16 14 19 16 17 14 8
Avg Max Decline -1.59% -0.79% -1.16% -0.79% -1.12% -1.04% -1.44% -1.07% -0.26% -0.70% -0.45%
Max Decline -5.83% -2.89% -3.18% -3.93% -3.98% -2.69% -3.75% -3.55% -1.63% -2.57% -1.02%
Avg Days to Max Decline 12 8 4 8 7 8 13 11 8 5 2
2006 Contract Condition Yes Yes   Yes Yes         Yes Yes
Action No Yes   Yes No         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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 21 24 26 30 30 30 30 30 30 30 30
Closed Lower 16 12 15 15 19 16 19 14 15 15 17
Penetrated Low 14 9 11 13 15 14 14 11 14 14 13
Scenario Percentage 88% 75% 73% 87% 79% 88% 74% 79% 93% 93% 76%
Avg Max Decline 4.24% 5.60% 3.87% 4.47% 4.71% 4.37% 3.49% 4.15% 4.01% 3.10% 4.46%
Max Decline 9.63% 11.00% 9.36% 13.47% 8.06% 15.07% 16.03% 8.34% 11.20% 8.75% 20.73%
Avg Days To Max Decline 23 13 17 17 18 17 15 16 17 10 7
Avg Max Increase -1.33% -0.13% -1.00% -0.53% -0.91% -0.71% -1.41% -0.82% -0.89% -1.19% 0.02%
Max Increase -3.84% -1.59% -3.03% -2.76% -1.92% -2.47% -3.61% -2.28% -2.67% -2.90% -1.66%
Avg Days to Max Increase 11 3 13 6 9 6 10 7 7 6 2
2006 Contract Condition     Yes     Yes Yes Yes Yes    
Action     No     Yes Yes Yes Yes    
High 91.59 89.78 89.65 90.72 94.42 92.20 90.13 89.37 87.76 86.32 86.92
Low 88.56 87.49 87.18 87.21 90.36 87.85 86.70 86.34 85.50 84.12 84.72
Close/Last 88.74 89.77 87.95 90.72 91.19 89.46 88.95 86.47 85.59 86.08 86.56

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