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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Swiss Franc(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 18 27 31 32 32 33 33 33 33 33 33
Closed Higher 10 13 18 10 16 15 15 15 16 13 17
Exceeded High 5 10 15 8 11 12 12 9 14 12 11
Scenario Percentage 50% 77% 83% 80% 69% 80% 80% 60% 88% 92% 65%
Avg Max Increase 3.79% 5.95% 4.06% 5.93% 3.67% 4.39% 3.62% 7.15% 6.49% 4.54% 2.93%
Max Increase 5.72% 11.22% 11.41% 14.48% 10.90% 8.85% 9.51% 14.97% 16.68% 10.45% 6.57%
Avg Days To Max Increase 13 15 13 21 22 14 17 20 15 12 9
Avg Max Decline 0.05% -0.81% -0.95% -0.83% -1.75% -1.39% -1.27% -1.02% -0.74% -1.40% -0.60%
Max Decline -1.20% -4.06% -2.88% -1.84% -7.41% -3.95% -6.04% -2.46% -2.75% -3.70% -2.58%
Avg Days to Max Decline 2 6 4 11 11 6 7 8 7 7 2
2007 Contract Condition Yes Yes     Yes   Yes   Yes Yes  
Action Yes Yes     Yes   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 18 27 31 32 32 33 33 33 33 33 33
Closed Lower 8 14 13 22 16 18 18 18 16 20 16
Penetrated Low 5 10 13 19 15 18 13 12 15 15 14
Scenario Percentage 62% 71% 100% 86% 94% 100% 72% 67% 94% 75% 88%
Avg Max Decline 2.68% 4.57% 6.12% 4.58% 4.16% 3.92% 5.34% 4.72% 4.18% 3.13% 6.08%
Max Decline 5.50% 11.68% 12.47% 11.73% 12.31% 8.93% 9.97% 9.95% 7.79% 7.32% 17.02%
Avg Days To Max Decline 13 23 16 18 17 20 21 16 17 16 14
Avg Max Increase 0.20% -2.01% -0.90% -1.48% -1.36% -1.38% -1.12% -1.17% -0.57% -1.36% -1.43%
Max Increase -0.33% -7.34% -4.38% -3.85% -5.83% -4.37% -4.15% -2.39% -3.46% -4.06% -4.36%
Avg Days to Max Increase 2 13 6 13 9 9 8 9 6 10 6
2007 Contract Condition     Yes Yes   Yes   Yes     Yes
Action     Yes No   Yes   Yes     Not Yet
High 83.04 85.57 86.04 84.27 83.53 84.19 84.33 83.89 82.98 84.00 84.91
Low 81.01 81.86 83.39 81.18 81.22 82.21 82.49 81.89 80.71 82.17 82.05
Close/Last 82.80 85.51 83.75 81.92 83.45 83.41 83.72 82.31 82.32 83.46 82.97

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