MRCI's ScenarioSM Study

ScenarioSM Study for June 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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	23	25	29	34	34	34	34	34	34	34	34
Closed Higher	6	15	19	18	16	19	11	17	17	15	15
Exceeded High	5	14	17	10	13	14	9	12	13	11	8
Scenario Percentage	83%	93%	89%	56%	81%	74%	82%	71%	76%	73%	53%
Avg Max Increase	7.80%	5.43%	4.26%	5.87%	5.72%	4.50%	6.67%	4.12%	4.55%	2.84%	1.92%
Max Increase	18.85%	12.61%	11.13%	12.27%	11.00%	11.11%	14.44%	10.82%	8.87%	4.65%	3.87%
Avg Days To Max Increase	20	17	18	21	17	14	20	21	17	10	6
Avg Max Decline	-0.53%	-1.15%	-1.03%	-0.22%	-1.18%	-1.29%	-1.10%	-1.74%	-1.54%	-0.80%	-0.43%
Max Decline	-1.60%	-4.88%	-4.15%	-1.21%	-4.07%	-2.86%	-2.71%	-7.31%	-3.91%	-2.18%	-1.20%
Avg Days to Max Decline	9	12	11	2	8	4	11	11	7	3	1
2009 Contract Condition						Yes			Yes		Yes
Action						No			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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	23	25	29	34	34	34	34	34	34	34	34
Closed Lower	17	10	10	16	17	15	23	17	17	19	19
Penetrated Low	13	7	8	11	13	14	20	16	17	14	15
Scenario Percentage	76%	70%	80%	69%	76%	93%	87%	94%	100%	74%	79%
Avg Max Decline	2.98%	3.60%	3.99%	3.95%	4.51%	6.12%	4.63%	4.15%	3.96%	4.23%	4.68%
Max Decline	8.02%	5.95%	8.76%	6.83%	11.57%	12.36%	12.27%	11.84%	8.28%	7.01%	13.41%
Avg Days To Max Decline	12	16	15	17	20	19	16	16	20	15	13
Avg Max Increase	-0.97%	-0.84%	-1.53%	-0.41%	-1.44%	-1.10%	-1.59%	-1.46%	-1.48%	-1.04%	-1.22%
Max Increase	-4.02%	-3.18%	-4.22%	-1.71%	-5.28%	-4.57%	-3.82%	-5.47%	-4.41%	-4.15%	-6.34%
Avg Days to Max Increase	7	7	9	8	11	6	11	12	10	5	5
2009 Contract Condition	Yes	Yes	Yes	Yes	Yes		Yes	Yes		Yes
Action	Yes	Yes	Yes	Yes	No		Yes	Yes		Not Yet
High	99.80	95.76	93.82	90.56	87.20	96.74	94.20	88.01	89.80	89.08	93.85
Low	95.65	90.93	88.03	85.83	82.19	82.56	85.67	84.36	83.77	85.23	87.57
Close/Last	95.71	90.93	90.08	86.90	83.22	93.89	86.24	85.80	87.89	87.83	93.65