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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, 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
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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 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

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