MRCI's ScenarioSM Study

ScenarioSM Study for December Japanese Yen(CME) as of Jan 01, 2013
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		27	30	32	36	36	36	36	36	36	36	36
Closed Higher		9	16	13	17	14	16	16	20	20	17	17
Exceeded High		6	12	9	13	13	11	14	16	17	13	7
Scenario Percentage		67%	75%	69%	76%	93%	69%	88%	80%	85%	76%	41%
Avg Max Increase		5.29%	6.25%	4.74%	4.13%	4.55%	4.67%	4.41%	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	12	15	15	19	17	18	12	9
Avg Max Decline		-1.65%	-0.54%	-1.16%	-0.84%	-1.30%	-1.07%	-1.67%	-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	6	8	11	14	8	4	2
2012 Contract Condition		Yes			Yes	Yes		Yes		Yes
Action		No			Yes	Yes		Yes		No

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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		27	30	32	36	36	36	36	36	36	36	36
Closed Lower		18	14	19	18	22	20	20	16	16	19	19
Penetrated Low		16	11	14	16	17	15	15	12	15	15	14
Scenario Percentage		89%	79%	74%	89%	77%	75%	75%	75%	94%	79%	74%
Avg Max Decline		3.94%	5.26%	3.49%	4.24%	4.46%	4.40%	3.45%	4.03%	3.95%	3.25%	1.61%
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	13	14	16	19	18	15	17	18	10	7
Avg Max Increase		-1.24%	-0.44%	-0.96%	-0.53%	-0.92%	-0.81%	-1.35%	-0.88%	-0.97%	-1.17%	0.01%
Max Increase		-3.84%	-3.98%	-3.03%	-2.76%	-1.92%	-2.47%	-3.61%	-2.28%	-2.67%	-2.90%	-0.82%
Avg Days to Max Increase		10	5	12	6	11	6	10	7	8	6	2
2012 Contract Condition			Yes	Yes			Yes		Yes		Yes	Yes
Action			Yes	No			No		Yes		Yes	Yes
High	131.05	131.92	131.92	124.31	125.70	128.04	129.00	128.51	128.48	129.77	128.63	126.50
Low	129.14	128.45	123.68	119.80	120.88	124.54	124.38	125.16	125.65	126.31	124.44	120.74
Close/Last	131.05	131.92	123.68	121.09	125.70	128.03	125.52	128.22	127.78	128.32	125.41	121.38