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