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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 Apr 30, 2011
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   21 30 34 35 35 36 36 36 36 36 36
Closed Higher   12 15 19 11 17 18 15 16 18 15 19
Exceeded High   7 11 15 9 12 14 12 10 16 14 13
Scenario Percentage   58% 73% 79% 82% 71% 78% 80% 63% 89% 93% 68%
Avg Max Increase   3.86% 5.74% 4.06% 6.57% 4.08% 4.31% 3.62% 6.52% 6.18% 4.37% 2.75%
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   16 16 13 20 22 14 17 19 16 12 9
Avg Max Decline   -0.06% -0.99% -0.95% -1.03% -1.56% -1.45% -1.27% -0.98% -0.75% -1.48% -0.64%
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
2011 Contract Condition       Yes   Yes Yes Yes        
Action       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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   21 30 34 35 35 36 36 36 36 36 36
Closed Lower   9 15 15 24 18 18 21 20 17 21 17
Penetrated Low   6 10 14 21 17 18 15 13 15 16 10
Scenario Percentage   67% 67% 93% 88% 94% 100% 71% 65% 88% 76% 59%
Avg Max Decline   3.07% 4.57% 6.03% 4.37% 3.87% 3.92% 5.34% 4.46% 4.18% 3.45% 2.76%
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 18 20 19 15 17 16 11
Avg Max Increase   0.17% -2.01% -0.97% -1.45% -1.49% -1.38% -0.97% -1.14% -0.57% -1.30% -0.93%
Max Increase   -0.33% -7.34% -4.38% -3.85% -5.83% -4.37% -4.15% -2.39% -3.46% -4.06% -2.68%
Avg Days to Max Increase   2 13 7 12 10 9 7 9 6 10 4
2011 Contract Condition   Yes Yes   Yes       Yes      
Action   Yes No   Yes              
High 102.81 105.31 104.61 107.44 107.58 108.38 111.48 115.95 115.96      
Low 98.57 101.09 100.19 100.19 103.04 102.91 106.96 107.25 115.18      
Close/Last 102.27 101.72 100.26 107.44 106.25 107.87 109.26 115.86 115.78      

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