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