MRCI's ScenarioSM Study

ScenarioSM Study for December 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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	22	25	27	31	31	31	31	31	31	31	31
Closed Higher	5	13	12	14	11	14	12	17	16	15	14
Exceeded High	4	9	9	10	10	9	10	13	14	11	6
Scenario Percentage	80%	69%	75%	71%	91%	64%	83%	76%	88%	73%	43%
Avg Max Increase	5.05%	6.92%	4.74%	4.48%	4.94%	4.42%	4.75%	6.33%	6.52%	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	18	19	13	16	14	19	16	18	14	8
Avg Max Decline	-1.59%	-0.65%	-1.16%	-0.79%	-1.12%	-1.04%	-1.39%	-1.07%	-0.46%	-0.70%	-0.45%
Max Decline	-5.83%	-2.89%	-3.18%	-3.93%	-3.98%	-2.69%	-3.75%	-3.55%	-3.05%	-2.57%	-1.02%
Avg Days to Max Decline	12	7	4	8	7	8	12	11	8	5	2
2007 Contract Condition		Yes	Yes				Yes	Yes	Yes		Yes
Action		Yes	No				Yes	No	Yes		Not Yet

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

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	22	25	27	31	31	31	31	31	31	31	31
Closed Lower	17	12	15	16	20	17	19	14	15	16	17
Penetrated Low	15	9	11	14	16	14	14	11	14	14	13
Scenario Percentage	88%	75%	73%	88%	80%	82%	74%	79%	93%	88%	76%
Avg Max Decline	4.03%	5.60%	3.87%	4.46%	4.56%	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	22	13	17	17	18	17	15	16	17	10	7
Avg Max Increase	-1.28%	-0.13%	-1.00%	-0.52%	-0.89%	-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	5	9	6	10	7	7	6	2
2007 Contract Condition	Yes			Yes	Yes	Yes				Yes
Action	Yes			Yes	Yes	No				Not Yet
High	88.01	87.71	89.65	87.84	86.36	84.72	86.18	90.89	89.96	88.87	93.50
Low	85.43	85.29	87.27	85.98	84.07	82.35	82.52	84.82	86.84	85.29	86.69
Close/Last	86.23	87.58	87.65	86.06	84.22	82.92	85.63	87.50	87.97	87.16	90.12