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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   24 28 30 33 33 33 33 33 33 33 33
Closed Higher   8 13 12 14 17 23 19 16 18 11 18
Exceeded High   7 8 10 12 15 20 12 13 14 9 8
Scenario Percentage   88% 62% 83% 86% 88% 87% 63% 81% 78% 82% 44%
Avg Max Increase   3.88% 6.05% 6.70% 6.16% 5.81% 4.47% 5.48% 5.80% 4.50% 6.46% 3.78%
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 21 17 18 19 17 15 15 12
Avg Max Decline   -1.01% -0.65% -0.66% -1.77% -1.23% -1.49% -0.72% -1.23% -1.48% -1.09% -0.85%
Max Decline   -5.72% -2.32% -2.02% -7.22% -5.77% -4.34% -1.81% -4.09% -2.75% -2.70% -2.07%
Avg Days to Max Decline   9 6 7 14 8 10 3 7 6 8 3
2008 Contract Condition   Yes     Yes   Yes Yes Yes   Yes Yes
Action   No     Yes   Yes Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   24 28 30 33 33 33 33 33 33 33 33
Closed Lower   15 15 18 19 16 10 14 17 15 22 15
Penetrated Low   12 11 16 16 9 8 11 14 14 19 11
Scenario Percentage   80% 73% 89% 84% 56% 80% 79% 82% 93% 86% 73%
Avg Max Decline   4.48% 4.47% 3.95% 2.79% 3.78% 3.56% 3.82% 4.62% 6.30% 4.00% 2.61%
Max Decline   9.60% 9.91% 7.87% 7.01% 6.14% 6.02% 6.74% 11.72% 12.52% 9.71% 7.23%
Avg Days To Max Decline   20 16 15 15 17 14 16 19 16 9 9
Avg Max Increase   -0.83% -1.35% -0.18% -1.39% -0.95% -1.94% -0.70% -1.38% -1.16% -1.16% -0.61%
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 14 8 10 3 10 7 11 6 7 3
2008 Contract Condition     Yes Yes   Yes       Yes    
Action     Yes No   No       No    
High 85.05 85.23 84.86 83.92 84.77 85.75 86.93 87.18 92.42 90.27 93.04 96.20
Low 83.27 83.63 82.93 81.81 83.14 83.19 83.57 85.00 86.59 86.66 89.02 90.06
Close/Last 84.44 84.75 83.34 83.26 84.41 84.02 86.90 87.13 89.04 88.38 92.56 95.90

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