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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 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   25 27 31 36 36 36 36 36 36 36 36
Closed Higher   8 17 21 19 17 20 11 18 19 16 16
Exceeded High   7 16 19 11 13 15 9 13 15 12 9
Scenario Percentage   88% 94% 90% 58% 76% 75% 82% 72% 79% 75% 56%
Avg Max Increase   7.23% 5.49% 4.18% 5.61% 5.72% 4.27% 6.67% 4.39% 4.55% 2.92% 1.89%
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   22 17 18 22 17 15 20 21 17 10 6
Avg Max Decline   -0.85% -1.06% -0.96% -0.27% -1.18% -1.50% -1.10% -1.68% -1.51% -1.02% -0.40%
Max Decline   -1.68% -4.88% -4.15% -1.21% -4.07% -4.46% -2.71% -7.31% -3.91% -3.49% -1.20%
Avg Days to Max Decline   9 11 10 2 8 5 11 11 6 4 1
2011 Contract Condition   Yes Yes Yes     Yes   Yes Yes Yes Yes
Action   Yes Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   25 27 31 36 36 36 36 36 36 36 36
Closed Lower   17 10 10 17 18 16 25 18 17 20 20
Penetrated Low   13 7 8 12 13 15 21 17 17 15 12
Scenario Percentage   76% 70% 80% 71% 72% 94% 84% 94% 100% 75% 60%
Avg Max Decline   2.98% 3.60% 3.99% 3.78% 4.51% 6.05% 4.53% 4.00% 3.96% 4.46% 1.82%
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 18 20 19 16 17 20 13 8
Avg Max Increase   -0.97% -0.84% -1.53% -0.61% -1.44% -1.16% -1.55% -1.55% -1.48% -0.98% -0.51%
Max Increase   -4.02% -3.18% -4.22% -2.83% -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
2011 Contract Condition         Yes Yes   Yes        
Action         Yes No   No        
High 93.61 96.48 98.71 102.68 105.21 104.53 107.28 107.42 108.36 111.63 115.96 118.11
Low 87.12 93.61 94.86 98.44 101.02 99.80 99.90 102.50 102.68 106.80 107.10 111.77
Close/Last 93.61 96.48 98.71 102.14 101.65 100.05 107.28 106.14 107.77 109.18 115.81 117.20

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