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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, 2010
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 25 29 31 34 34 34 34 34 34 34 34
Closed Higher 8 13 13 14 17 23 19 16 19 11 18
Exceeded High 7 8 11 12 15 20 12 13 14 9 8
Scenario Percentage 88% 62% 85% 86% 88% 87% 63% 81% 74% 82% 44%
Avg Max Increase 3.88% 6.05% 6.24% 6.16% 5.81% 4.47% 5.48% 5.80% 4.50% 6.06% 3.33%
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 14 11
Avg Max Decline -1.01% -0.65% -0.72% -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
2009 Contract Condition     Yes           Yes    
Action     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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 25 29 31 34 34 34 34 34 34 34 34
Closed Lower 16 16 18 20 17 11 15 18 15 23 16
Penetrated Low 13 11 16 17 10 9 12 14 14 20 13
Scenario Percentage 81% 69% 89% 85% 59% 82% 80% 78% 93% 87% 81%
Avg Max Decline 4.31% 4.47% 3.95% 3.10% 3.98% 4.17% 3.99% 4.62% 6.30% 3.87% 6.38%
Max Decline 9.60% 9.91% 7.87% 8.04% 6.14% 9.10% 6.74% 11.72% 12.52% 8.95% 26.92%
Avg Days To Max Decline 19 16 15 15 18 15 17 19 16 9 10
Avg Max Increase -0.77% -1.35% -0.18% -1.32% -1.19% -1.80% -0.68% -1.38% -1.16% -1.20% -0.90%
Max Increase -2.32% -3.86% -2.84% -4.67% -3.30% -4.75% -2.11% -5.35% -4.51% -3.76% -2.34%
Avg Days to Max Increase 7 14 8 10 5 9 7 11 6 6 -51
2009 Contract Condition Yes Yes   Yes Yes Yes Yes Yes   Yes Yes
Action Yes No   Yes Yes Yes Yes No   Yes Yes
High 100.72 97.90 98.74 99.87 95.81 93.82 90.50 87.24 96.65 94.20 87.78
Low 95.93 94.53 95.43 95.52 90.65 87.94 85.60 81.72 81.99 85.41 84.16
Close/Last 96.79 96.05 98.27 95.63 90.82 89.90 86.81 82.89 93.64 86.07 85.60

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