MRCI Online
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| ScenarioSM Study for September Swiss Franc(CME) as of Jan 01, 2009 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
| Tested Month | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
| Tested Years | 19 | 28 | 32 | 33 | 33 | 34 | 34 | 34 | 34 | 34 | 34 | |
| Closed Higher | 11 | 14 | 18 | 11 | 17 | 16 | 15 | 15 | 17 | 13 | 17 | |
| Exceeded High | 6 | 11 | 15 | 9 | 12 | 12 | 12 | 9 | 15 | 12 | 11 | |
| Scenario Percentage | 55% | 79% | 83% | 82% | 71% | 75% | 80% | 60% | 88% | 92% | 65% | |
| Avg Max Increase | 4.05% | 5.74% | 4.06% | 6.57% | 4.08% | 4.39% | 3.62% | 7.15% | 6.18% | 4.51% | 2.86% | |
| 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 | 15 | 16 | 13 | 20 | 22 | 14 | 17 | 20 | 15 | 11 | 8 | |
| Avg Max Decline | -0.03% | -0.99% | -0.95% | -1.03% | -1.56% | -1.39% | -1.27% | -1.02% | -0.79% | -1.40% | -0.60% | |
| Max Decline | -1.20% | -4.06% | -2.88% | -2.66% | -7.41% | -3.95% | -6.04% | -2.46% | -2.75% | -3.70% | -2.58% | |
| Avg Days to Max Decline | 2 | 7 | 4 | 11 | 11 | 6 | 7 | 8 | 7 | 7 | 2 | |
| 2008 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
| Action | Yes | Yes | Yes | Yes | No | Yes | ||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
