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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 Dec 31, 2010
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   26 30 32 35 35 35 35 35 35 35 35
Closed Higher   8 14 13 15 18 24 20 17 19 11 18
Exceeded High   7 9 11 13 16 21 13 13 14 9 8
Scenario Percentage   88% 64% 85% 87% 89% 88% 65% 76% 74% 82% 44%
Avg Max Increase   3.88% 5.46% 6.24% 6.07% 5.79% 4.47% 5.31% 5.80% 4.50% 6.06% 3.27%
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 18 19 21 18 18 20 17 15 14 10
Avg Max Decline   -1.01% -0.60% -0.72% -1.77% -1.20% -1.46% -0.73% -1.23% -1.48% -1.09% -0.74%
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 5 7 14 7 10 3 7 6 8 2
2010 Contract Condition     Yes   Yes Yes Yes Yes Yes      
Action     Yes   Yes Yes Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   26 30 32 35 35 35 35 35 35 35 35
Closed Lower   17 16 19 20 17 11 15 18 16 24 17
Penetrated Low   13 11 16 17 10 9 12 14 15 21 12
Scenario Percentage   76% 69% 84% 85% 59% 82% 80% 78% 94% 88% 71%
Avg Max Decline   4.31% 4.47% 3.95% 3.10% 3.98% 4.17% 3.99% 4.62% 6.22% 3.80% 2.44%
Max Decline   9.60% 9.91% 7.87% 8.04% 6.14% 9.10% 6.74% 11.72% 12.52% 8.95% 5.63%
Avg Days To Max Decline   19 16 15 15 18 15 17 19 17 9 9
Avg Max Increase   -0.77% -1.35% -0.18% -1.32% -1.19% -1.80% -0.68% -1.38% -1.22% -1.19% -0.74%
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 4
2010 Contract Condition   Yes   Yes           Yes Yes Yes
Action   No   No           Yes Yes Not Yet
High 90.15 89.20 94.06 94.72 94.26 94.93 98.65 99.71 100.91 100.45 98.75 95.28
Low 85.23 86.19 88.35 91.40 91.89 92.26 93.87 95.87 96.83 95.22 93.97 91.76
Close/Last 88.57 88.35 94.06 92.50 93.90 94.57 96.69 97.64 99.45 96.69 94.29 93.08

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