MRCI's ScenarioSM Study

ScenarioSM Study for December 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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	24	27	29	33	33	33	33	33	33	33	33
Closed Higher	7	14	13	15	12	14	13	18	18	16	16
Exceeded High	5	10	9	11	11	9	11	14	16	12	7
Scenario Percentage	71%	71%	69%	73%	92%	64%	85%	78%	89%	75%	44%
Avg Max Increase	5.94%	7.09%	4.74%	4.50%	4.82%	4.42%	4.99%	6.28%	7.07%	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	14	16	14	20	16	19	13	9
Avg Max Decline	-1.64%	-0.46%	-1.16%	-0.79%	-1.34%	-1.04%	-1.55%	-1.03%	-0.59%	-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	10	9	5	2
2009 Contract Condition	Yes			Yes	Yes		Yes	Yes	Yes		Yes
Action	No			Yes	Yes		Yes	Yes	Yes		Not Yet

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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	24	27	29	33	33	33	33	33	33	33	33
Closed Lower	17	13	16	17	21	19	20	15	15	17	17
Penetrated Low	15	10	12	15	17	15	15	11	14	14	13
Scenario Percentage	88%	77%	75%	88%	81%	79%	75%	73%	93%	82%	76%
Avg Max Decline	4.03%	5.39%	3.72%	4.45%	4.46%	4.40%	3.45%	4.15%	4.01%	3.06%	4.41%
Max Decline	9.63%	11.00%	9.36%	13.47%	8.06%	15.07%	16.03%	8.34%	11.20%	8.39%	20.73%
Avg Days To Max Decline	22	12	16	17	19	18	15	16	17	9	6
Avg Max Increase	-1.28%	-0.52%	-0.97%	-0.55%	-0.92%	-0.81%	-1.35%	-0.82%	-0.89%	-1.19%	0.02%
Max Increase	-3.84%	-3.98%	-3.03%	-2.76%	-1.92%	-2.47%	-3.61%	-2.28%	-2.67%	-2.90%	-1.66%
Avg Days to Max Increase	11	4	12	6	11	6	10	7	7	6	2
2009 Contract Condition		Yes	Yes			Yes				Yes
Action		Yes	Yes			No				Not Yet
High	113.51	113.09	107.16	104.80	106.54	105.92	109.16	108.13	113.41	113.68	117.90
Low	107.14	102.49	101.48	99.45	100.90	101.62	103.38	102.41	107.10	108.34	109.42
Close/Last	112.17	103.06	101.48	101.73	105.36	104.01	105.63	107.62	111.62	111.13	115.91