|
 |
| 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 |
|
|
|
|
|
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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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
