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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 Dec 30, 2011
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   26 29 31 35 35 35 35 35 35 35 35
Closed Higher   8 16 13 16 13 16 15 20 19 17 17
Exceeded High   6 12 9 12 12 11 13 16 17 13 7
Scenario Percentage   75% 75% 69% 75% 92% 69% 87% 80% 89% 76% 41%
Avg Max Increase   5.29% 6.25% 4.74% 4.26% 4.86% 4.67% 4.65% 5.87% 6.88% 3.86% 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   18 16 19 13 17 15 19 17 18 12 9
Avg Max Decline   -1.65% -0.54% -1.16% -0.83% -1.41% -1.07% -1.64% -1.27% -0.60% -0.84% -0.39%
Max Decline   -5.83% -2.89% -3.18% -3.93% -3.98% -2.69% -3.94% -3.76% -3.05% -2.57% -1.02%
Avg Days to Max Decline   13 6 4 9 7 8 10 14 8 4 2
2011 Contract Condition     Yes   Yes   Yes Yes Yes     Yes
Action     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   26 29 31 35 35 35 35 35 35 35 35
Closed Lower   18 13 18 18 22 19 20 15 16 18 18
Penetrated Low   16 10 14 16 17 15 15 11 15 14 13
Scenario Percentage   89% 77% 78% 89% 77% 79% 75% 73% 94% 78% 72%
Avg Max Decline   3.94% 5.39% 3.49% 4.24% 4.46% 4.40% 3.45% 4.15% 3.95% 3.10% 1.57%
Max Decline   9.63% 11.00% 9.36% 13.47% 8.06% 15.07% 16.03% 8.34% 11.20% 8.75% 3.46%
Avg Days To Max Decline   22 12 14 16 19 18 15 16 18 10 6
Avg Max Increase   -1.24% -0.52% -0.96% -0.53% -0.92% -0.81% -1.35% -0.82% -0.97% -1.19% 0.07%
Max Increase   -3.84% -3.98% -3.03% -2.76% -1.92% -2.47% -3.61% -2.28% -2.67% -2.90% -0.59%
Avg Days to Max Increase   10 4 12 6 11 6 10 7 8 6 2
2011 Contract Condition   Yes   Yes   Yes       Yes Yes  
Action   Yes   Yes   No       Yes Not Yet  
High 123.87 123.87 123.37 127.08 123.50 125.21 125.49 130.30 131.80 131.56 132.64 130.67
Low 119.24 120.70 119.30 120.67 117.32 121.87 122.89 122.50 124.84 128.60 125.82 126.67
Close/Last 123.87 122.46 122.73 120.67 123.50 122.89 124.43 129.96 130.73 129.87 128.21 128.99

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