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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, 2013
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   23 32 36 37 37 38 38 38 38 38 38
Closed Higher   13 15 20 12 19 19 16 17 20 16 20
Exceeded High   7 11 16 10 13 15 13 11 17 15 14
Scenario Percentage   54% 73% 80% 83% 68% 79% 81% 65% 85% 94% 70%
Avg Max Increase   3.86% 5.74% 3.86% 6.19% 4.34% 4.57% 3.68% 6.71% 6.93% 4.86% 2.78%
Max Increase   5.72% 11.22% 11.41% 14.48% 10.90% 8.85% 9.51% 14.97% 18.98% 11.71% 6.57%
Avg Days To Max Increase   16 16 14 21 22 15 17 19 15 12 9
Avg Max Decline   -0.06% -0.99% -1.15% -0.98% -1.51% -1.48% -1.44% -0.92% -0.79% -1.43% -0.64%
Max Decline   -1.20% -4.06% -4.22% -2.66% -7.41% -3.95% -6.04% -2.46% -2.75% -3.70% -2.58%
Avg Days to Max Decline   2 7 6 11 10 6 8 8 7 7 2
2012 Contract Condition   Yes     Yes Yes       Yes   Yes
Action   No     Yes No       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   23 32 36 37 37 38 38 38 38 38 38
Closed Lower   10 17 16 25 18 19 22 21 17 22 18
Penetrated Low   7 11 15 22 17 19 16 14 15 16 11
Scenario Percentage   70% 65% 94% 88% 94% 100% 73% 67% 88% 73% 61%
Avg Max Decline   2.84% 4.57% 5.76% 4.31% 3.87% 4.09% 5.44% 4.33% 4.18% 3.45% 3.41%
Max Decline   5.50% 11.68% 12.47% 11.73% 12.31% 8.93% 9.97% 9.95% 7.79% 8.25% 9.89%
Avg Days To Max Decline   12 22 16 17 18 21 18 15 17 16 11
Avg Max Increase   -0.26% -1.83% -0.95% -1.42% -1.49% -1.31% -0.91% -1.46% -0.57% -1.30% -1.24%
Max Increase   -2.84% -7.34% -4.38% -3.85% -5.83% -4.37% -4.15% -5.62% -3.46% -4.06% -4.41%
Avg Days to Max Increase   2 12 6 12 10 9 6 9 6 10 4
2012 Contract Condition     Yes Yes     Yes Yes Yes   Yes  
Action     Yes Yes     Yes Yes Yes   Not Yet  
High 128.35 117.30 115.47 110.33 109.95 112.14 111.03 111.08 110.44 109.02 105.66 105.27
Low 111.42 108.92 108.49 105.83 105.28 108.62 107.54 108.60 103.11 102.80 100.40 101.12
Close/Last 111.45 115.47 110.33 107.28 109.15 111.03 111.01 110.44 103.22 105.61 102.57 104.80

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