MRCI's ScenarioSM Study

ScenarioSM Study for December Japanese Yen(CME) as of Dec 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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		25	28	30	34	34	34	34	34	34	34	34
Closed Higher		8	15	13	15	13	15	14	19	19	17	16
Exceeded High		6	11	9	11	12	10	12	15	17	13	6
Scenario Percentage		75%	73%	69%	73%	92%	67%	86%	79%	89%	76%	38%
Avg Max Increase		5.29%	6.49%	4.74%	4.50%	4.86%	4.54%	4.92%	6.17%	6.88%	3.76%	3.18%
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		18	16	19	14	17	15	19	16	18	13	7
Avg Max Decline		-1.65%	-0.45%	-1.16%	-0.79%	-1.41%	-1.02%	-1.45%	-1.11%	-0.60%	-0.84%	-0.47%
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		13	6	4	8	7	9	11	11	8	4	1
2010 Contract Condition		Yes	Yes			Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes	Yes			Yes	Yes	Yes	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		25	28	30	34	34	34	34	34	34	34	34
Closed Lower		17	13	17	18	21	19	20	15	15	17	18
Penetrated Low		15	10	13	16	17	15	15	11	14	14	13
Scenario Percentage		88%	77%	76%	89%	81%	79%	75%	73%	93%	82%	72%
Avg Max Decline		4.03%	5.39%	3.55%	4.24%	4.46%	4.40%	3.45%	4.15%	4.01%	2.99%	1.44%
Max Decline		9.63%	11.00%	9.36%	13.47%	8.06%	15.07%	16.03%	8.34%	11.20%	8.39%	2.49%
Avg Days To Max Decline		22	12	15	16	19	18	15	16	17	9	5
Avg Max Increase		-1.28%	-0.52%	-1.04%	-0.53%	-0.92%	-0.81%	-1.35%	-0.82%	-0.89%	-1.19%	0.11%
Max Increase		-3.84%	-3.98%	-3.03%	-2.76%	-1.92%	-2.47%	-3.61%	-2.28%	-2.67%	-2.90%	-0.45%
Avg Days to Max Increase		11	4	13	6	11	6	10	7	7	6	2
2010 Contract Condition				Yes	Yes							Yes
Action				Yes	Yes							Yes
High	116.38	111.82	112.80	113.38	109.30	113.82	113.50	116.41	119.73	120.77	124.50	124.66
Low	107.94	107.83	109.20	107.25	105.88	105.61	108.27	112.46	115.49	116.48	119.13	118.49
Close/Last	107.94	111.10	112.80	107.25	106.77	110.57	113.36	115.96	119.09	120.01	124.29	119.59