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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, 2013
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   28 32 34 37 37 37 37 37 37 37 37
Closed Higher   9 15 15 17 19 25 21 17 20 12 20
Exceeded High   8 10 13 15 17 22 13 13 15 10 9
Scenario Percentage   89% 67% 87% 88% 89% 88% 62% 76% 75% 83% 45%
Avg Max Increase   3.90% 5.74% 7.11% 6.44% 5.87% 4.43% 5.31% 5.80% 4.27% 6.11% 3.46%
Max Increase   8.78% 11.71% 18.21% 18.60% 12.10% 11.46% 12.15% 10.90% 10.55% 13.30% 9.13%
Avg Days To Max Increase   17 19 19 21 17 18 20 17 15 15 10
Avg Max Decline   -1.27% -0.54% -0.68% -1.64% -1.19% -1.40% -0.73% -1.23% -1.68% -1.09% -0.80%
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 6 13 7 9 3 7 7 9 3
2012 Contract Condition   Yes Yes Yes Yes     Yes     Yes Yes
Action   Yes Yes Yes Yes     No     Yes Not Yet
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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   28 32 34 37 37 37 37 37 37 37 37
Closed Lower   18 17 19 20 18 12 16 20 17 25 17
Penetrated Low   14 12 16 17 11 10 13 16 16 21 12
Scenario Percentage   78% 71% 84% 85% 61% 83% 81% 80% 94% 84% 71%
Avg Max Decline   4.50% 4.14% 3.95% 3.10% 4.86% 4.07% 3.84% 4.38% 5.98% 3.88% 2.64%
Max Decline   9.60% 9.91% 7.87% 8.04% 13.62% 9.10% 6.74% 11.72% 12.52% 9.71% 7.23%
Avg Days To Max Decline   18 15 15 15 17 16 15 17 16 9 9
Avg Max Increase   -0.71% -1.25% -0.18% -1.32% -1.32% -2.18% -0.87% -1.27% -1.21% -1.19% -0.74%
Max Increase   -2.32% -3.86% -2.84% -4.67% -3.30% -5.54% -3.16% -5.35% -4.51% -3.76% -2.34%
Avg Days to Max Increase   7 13 8 10 5 11 7 10 6 6 4
2012 Contract Condition           Yes Yes   Yes Yes    
Action           Yes Yes   Yes Yes    
High 111.37 115.86 117.46 120.54 127.13 140.99 128.46 117.00 114.84 110.47 109.79 112.00
Low 107.10 108.27 112.24 117.44 118.10 122.80 109.70 108.06 107.38 105.01 104.31 107.55
Close/Last 109.38 115.86 117.44 119.27 127.13 125.10 110.86 114.84 109.73 106.70 108.76 110.69

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