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