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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   24 26 30 35 35 35 35 35 35 35 35
Closed Higher   7 16 20 19 17 19 11 17 18 15 15
Exceeded High   6 15 18 11 13 14 9 12 14 11 8
Scenario Percentage   86% 94% 90% 58% 76% 74% 82% 71% 78% 73% 53%
Avg Max Increase   7.36% 5.42% 4.24% 5.61% 5.72% 4.50% 6.67% 4.12% 4.29% 2.84% 1.82%
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   21 18 19 22 17 14 20 21 16 10 5
Avg Max Decline   -0.72% -1.11% -1.01% -0.27% -1.18% -1.29% -1.10% -1.74% -1.48% -0.80% -0.43%
Max Decline   -1.64% -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 11 10 2 8 4 11 11 6 3 1
2010 Contract Condition   Yes Yes Yes Yes Yes       Yes    
Action   Yes Yes Yes Yes No       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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   24 26 30 35 35 35 35 35 35 35 35
Closed Lower   17 10 10 16 17 16 24 18 17 20 20
Penetrated Low   13 7 8 11 13 15 21 17 17 15 12
Scenario Percentage   76% 70% 80% 69% 76% 94% 88% 94% 100% 75% 60%
Avg Max Decline   2.98% 3.60% 3.99% 3.95% 4.51% 6.05% 4.53% 4.00% 3.96% 4.49% 1.86%
Max Decline   8.02% 5.95% 8.76% 6.83% 11.57% 12.36% 12.27% 11.84% 8.28% 8.21% 4.09%
Avg Days To Max Decline   12 16 15 17 20 19 16 17 20 14 8
Avg Max Increase   -0.97% -0.84% -1.53% -0.41% -1.44% -1.16% -1.55% -1.55% -1.48% -0.98% -0.51%
Max Increase   -4.02% -3.18% -4.22% -1.71% -5.28% -4.57% -3.82% -5.47% -4.41% -4.15% -1.41%
Avg Days to Max Increase   7 7 9 8 11 6 10 13 10 5 3
2010 Contract Condition             Yes Yes Yes   Yes Yes
Action             Yes Yes Yes   Yes Yes
High 94.92 94.46 95.02 98.96 99.73 100.69 100.35 98.80 95.02 95.40 95.90 93.02
Low 91.65 92.12 92.57 94.12 96.20 96.97 95.32 94.08 91.85 91.91 91.58 85.62
Close/Last 92.73 94.11 94.71 96.83 97.74 99.53 96.77 94.35 93.14 94.93 92.90 86.48

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