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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Swiss Franc(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 23 27 29 32 32 32 32 32 32 32 32
Closed Higher 7 13 12 13 17 22 18 15 18 10 17
Exceeded High 7 8 10 11 15 19 11 12 14 8 7
Scenario Percentage 100% 62% 83% 85% 88% 86% 61% 80% 78% 80% 41%
Avg Max Increase 3.88% 6.05% 6.70% 6.45% 5.81% 4.37% 5.42% 5.90% 4.50% 5.77% 3.05%
Max Increase 8.78% 11.71% 16.75% 18.60% 12.10% 11.46% 12.15% 10.90% 10.55% 13.30% 9.13%
Avg Days To Max Increase 16 20 19 20 17 18 19 15 15 14 11
Avg Max Decline -1.01% -0.65% -0.66% -1.80% -1.23% -1.46% -0.73% -1.11% -1.48% -0.89% -1.03%
Max Decline -5.72% -2.32% -2.02% -7.22% -5.77% -4.34% -1.81% -4.09% -2.75% -2.01% -2.07%
Avg Days to Max Decline 9 6 7 14 8 10 3 6 6 7 3
2007 Contract Condition Yes Yes         Yes Yes     Yes
Action Yes No         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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 23 27 29 32 32 32 32 32 32 32 32
Closed Lower 15 14 17 19 15 10 14 17 14 22 15
Penetrated Low 12 10 16 16 9 8 11 14 14 19 12
Scenario Percentage 80% 71% 94% 84% 60% 80% 79% 82% 100% 86% 80%
Avg Max Decline 4.48% 4.74% 3.95% 2.79% 3.78% 3.56% 3.82% 4.62% 6.30% 4.00% 6.74%
Max Decline 9.60% 9.91% 7.87% 7.01% 6.14% 6.02% 6.74% 11.72% 12.52% 9.71% 26.92%
Avg Days To Max Decline 20 17 15 15 17 14 16 19 16 9 11
Avg Max Increase -0.83% -1.41% -0.18% -1.39% -0.95% -1.94% -0.70% -1.38% -1.16% -1.16% -0.79%
Max Increase -2.32% -3.86% -2.84% -4.67% -3.04% -4.75% -2.11% -5.35% -4.51% -3.76% -2.34%
Avg Days to Max Increase 8 15 8 10 3 10 7 11 6 7 -56
2007 Contract Condition     Yes Yes Yes Yes     Yes Yes  
Action     Yes Yes Yes Yes     Yes Not Yet  
High 83.11 85.74 85.15 84.07 83.74 82.92 81.88 84.47 84.98 83.25 82.49
Low 79.02 83.14 82.31 81.51 82.18 80.81 79.47 80.52 82.01 79.79 79.91
Close/Last 82.97 84.37 83.92 83.23 82.89 81.28 81.49 84.30 82.54 80.73 82.25

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