MRCI's ScenarioSM Study

ScenarioSM Study for December Japanese Yen(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		23	26	28	32	32	32	32	32	32	32	32
Closed Higher		6	14	13	14	11	14	12	17	17	16	15
Exceeded High		5	10	9	10	10	9	10	13	15	12	7
Scenario Percentage		83%	71%	69%	71%	91%	64%	83%	76%	88%	75%	47%
Avg Max Increase		5.94%	7.09%	4.74%	4.48%	4.94%	4.42%	4.75%	6.33%	7.16%	4.16%	3.23%
Max Increase		9.98%	19.83%	10.37%	9.71%	15.49%	10.93%	9.83%	22.99%	19.82%	11.98%	8.50%
Avg Days To Max Increase		21	18	19	13	16	14	19	16	18	13	9
Avg Max Decline		-1.64%	-0.46%	-1.16%	-0.79%	-1.12%	-1.04%	-1.39%	-1.07%	-0.44%	-0.80%	-0.39%
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	7	5	2
2008 Contract Condition		Yes	Yes	Yes						Yes	Yes	Yes
Action		Yes	Yes	No						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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		23	26	28	32	32	32	32	32	32	32	32
Closed Lower		17	12	15	17	21	18	20	15	15	16	17
Penetrated Low		15	9	11	15	17	15	15	11	14	14	12
Scenario Percentage		88%	75%	73%	88%	81%	83%	75%	73%	93%	88%	71%
Avg Max Decline		4.03%	5.60%	3.87%	4.45%	4.46%	4.40%	3.45%	4.15%	4.01%	3.09%	1.60%
Max Decline		9.63%	11.00%	9.36%	13.47%	8.06%	15.07%	16.03%	8.34%	11.20%	8.75%	3.26%
Avg Days To Max Decline		22	13	17	17	19	18	15	16	17	10	7
Avg Max Increase		-1.28%	-0.13%	-1.00%	-0.55%	-0.92%	-0.81%	-1.35%	-0.82%	-0.89%	-1.19%	0.10%
Max Increase		-3.84%	-1.59%	-3.03%	-2.76%	-1.92%	-2.47%	-3.61%	-2.28%	-2.67%	-2.90%	-0.59%
Avg Days to Max Increase		11	3	13	6	11	6	10	7	7	6	2
2008 Contract Condition					Yes	Yes	Yes	Yes	Yes
Action					Yes	Yes	Yes	Yes	No
High	94.30	96.76	97.51	104.65	101.41	98.28	97.02	97.20	93.93	97.40	110.33	106.96
Low	90.34	93.49	93.82	97.58	96.77	95.57	93.13	93.01	90.69	92.14	94.84	99.53
Close/Last	92.29	95.58	97.51	101.41	97.37	95.84	95.22	93.42	92.50	94.98	101.40	104.65