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