|
 |
| 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 |
|
|
|
|
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 |
|
|
|
|
|
| Copyright © 2024 Moore Research Center, Inc. All Rights Reserved. |
| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
