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