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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 30, 2011
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   27 31 33 36 36 36 36 36 36 36 36
Closed Higher   8 14 14 16 19 25 20 17 20 11 19
Exceeded High   7 9 12 14 17 22 13 13 15 9 9
Scenario Percentage   88% 64% 86% 88% 89% 88% 65% 76% 75% 82% 47%
Avg Max Increase   3.88% 5.46% 6.19% 6.13% 5.87% 4.43% 5.31% 5.80% 4.27% 6.06% 2.99%
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 20 22 17 18 20 17 15 14 9
Avg Max Decline   -1.01% -0.60% -0.66% -1.76% -1.19% -1.40% -0.73% -1.23% -1.68% -1.09% -0.70%
Max Decline   -5.72% -2.32% -2.02% -7.22% -5.77% -4.34% -1.81% -4.09% -4.56% -2.70% -2.07%
Avg Days to Max Decline   9 5 7 13 7 9 3 7 7 8 2
2011 Contract Condition       Yes Yes Yes Yes     Yes   Yes
Action       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   27 31 33 36 36 36 36 36 36 36 36
Closed Lower   18 17 19 20 17 11 16 19 16 25 17
Penetrated Low   14 12 16 17 10 9 13 15 15 21 11
Scenario Percentage   78% 71% 84% 85% 59% 82% 81% 79% 94% 84% 65%
Avg Max Decline   4.50% 4.14% 3.95% 3.10% 3.98% 4.17% 3.84% 4.34% 6.22% 3.75% 2.29%
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   18 15 15 15 18 15 15 17 17 9 8
Avg Max Increase   -0.71% -1.25% -0.18% -1.32% -1.19% -1.80% -0.87% -1.31% -1.22% -1.19% -0.64%
Max Increase   -2.32% -3.86% -2.84% -4.67% -3.30% -4.75% -3.16% -5.35% -4.51% -3.76% -2.34%
Avg Days to Max Increase   7 13 8 10 5 9 7 10 6 6 4
2011 Contract Condition   Yes Yes         Yes Yes   Yes  
Action   Yes Yes         Yes Yes   Not Yet  
High 95.31 95.39 93.26 93.38 96.39 98.60 102.93 105.74 104.79 107.62 107.38 108.33
Low 93.11 92.41 87.19 86.84 93.38 94.75 97.52 100.83 99.60 99.52 102.25 102.31
Close/Last 95.21 93.26 87.28 93.38 96.39 98.60 102.04 101.58 99.85 107.14 106.04 107.68

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