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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 May 31, 2010
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   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% 63% 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% 2.72%
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
2010 Contract Condition   Yes Yes       Yes     Yes    
Action   Yes No       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 Sep 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 9
Scenario Percentage   67% 67% 93% 87% 94% 100% 70% 63% 88% 76% 53%
Avg Max Decline   3.07% 4.57% 6.12% 4.47% 4.02% 3.92% 5.15% 4.72% 4.18% 3.35% 2.74%
Max Decline   5.50% 11.68% 12.47% 11.73% 12.31% 8.93% 9.97% 9.95% 7.79% 8.25% 5.78%
Avg Days To Max Decline   14 23 16 18 17 20 20 16 17 16 10
Avg Max Increase   0.17% -2.01% -0.90% -1.49% -1.39% -1.38% -1.04% -1.17% -0.57% -1.30% -0.57%
Max Increase   -0.33% -7.34% -4.38% -3.85% -5.83% -4.37% -4.15% -2.39% -3.46% -4.06% -1.97%
Avg Days to Max Increase   2 13 6 13 9 9 7 9 6 7 2
2010 Contract Condition       Yes Yes Yes   Yes Yes      
Action       Yes Yes Yes   Yes Yes      
High 98.27 99.86 100.56 100.38 98.65 95.13 95.46 95.94 93.01 87.41    
Low 94.34 96.46 97.66 95.65 94.41 92.17 92.21 91.72 85.92 85.57    
Close/Last 97.02 97.86 99.63 96.91 94.42 93.21 95.00 93.01 86.72 86.83    

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