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