MRCI's ScenarioSM Study

ScenarioSM Study for September Swiss Franc(CME) as of Jan 01, 2010
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	20	29	33	34	34	35	35	35	35	35	35
Closed Higher	11	14	19	11	17	17	15	16	17	14	18
Exceeded High	6	11	15	9	12	13	12	10	15	13	12
Scenario Percentage	55%	79%	79%	82%	71%	76%	80%	62%	88%	93%	67%
Avg Max Increase	4.05%	5.74%	4.06%	6.57%	4.08%	4.57%	3.62%	6.52%	6.18%	4.42%	2.74%
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	15	17	19	15	11	8
Avg Max Decline	-0.03%	-0.99%	-0.95%	-1.03%	-1.56%	-1.52%	-1.27%	-0.98%	-0.79%	-1.43%	-0.63%
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	7	7	7	7	7	2
2009 Contract Condition			Yes			Yes		Yes		Yes	Yes
Action			No			Yes		Yes		Yes	Yes

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

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	20	29	33	34	34	35	35	35	35	35	35
Closed Lower	9	15	14	23	17	18	20	19	17	21	17
Penetrated Low	6	10	13	20	16	18	14	12	15	16	15
Scenario Percentage	67%	67%	93%	87%	94%	100%	70%	63%	88%	76%	88%
Avg Max Decline	3.07%	4.57%	6.12%	4.47%	4.02%	3.92%	5.15%	4.72%	4.18%	3.36%	6.22%
Max Decline	5.50%	11.68%	12.47%	11.73%	12.31%	8.93%	9.97%	9.95%	7.79%	8.25%	17.02%
Avg Days To Max Decline	14	23	16	18	17	20	20	16	17	16	14
Avg Max Increase	0.17%	-2.01%	-0.90%	-1.49%	-1.39%	-1.38%	-1.04%	-1.17%	-0.57%	-1.30%	-1.27%
Max Increase	-0.33%	-7.34%	-4.38%	-3.85%	-5.83%	-4.37%	-4.15%	-2.39%	-3.46%	-4.06%	-4.05%
Avg Days to Max Increase	2	13	6	13	9	9	7	9	6	7	4
2009 Contract Condition	Yes	Yes		Yes	Yes		Yes		Yes
Action	Yes	No		Yes	Yes		No		No
High	90.26	86.99	96.81	94.47	87.82	89.97	89.13	93.95	94.53	94.25	95.03
Low	86.27	82.65	82.90	86.12	84.90	84.40	85.41	87.74	90.75	91.35	91.90
Close/Last	86.99	83.53	94.12	86.42	86.04	88.10	87.99	93.76	92.20	93.62	94.39