MRCI's ScenarioSM Study

ScenarioSM Study for December Swiss Franc(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	26	28	31	33	33	33	33	33	33	33	33
Closed Higher	9	14	13	14	15	15	13	17	23	19	16
Exceeded High	7	10	10	11	9	13	12	15	19	12	12
Scenario Percentage	78%	71%	77%	79%	60%	87%	92%	88%	83%	63%	75%
Avg Max Increase	6.25%	3.81%	5.01%	3.63%	7.10%	6.82%	6.18%	5.79%	4.47%	4.78%	2.36%
Max Increase	14.24%	11.04%	8.65%	9.43%	14.68%	16.98%	18.03%	11.77%	11.82%	9.17%	5.00%
Avg Days To Max Increase	19	19	16	17	20	16	21	17	17	11	8
Avg Max Decline	-0.59%	-1.67%	-1.56%	-1.31%	-0.89%	-0.72%	-1.85%	-1.42%	-1.40%	-0.74%	-0.52%
Max Decline	-1.32%	-7.48%	-3.53%	-5.96%	-2.27%	-2.40%	-7.31%	-5.63%	-4.51%	-1.81%	-2.23%
Avg Days to Max Decline	10	8	5	10	8	7	14	8	11	3	3
2007 Contract Condition		Yes		Yes			Yes		Yes	Yes	Yes
Action		Yes		No			Yes		Yes	Yes	Not Yet

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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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	26	28	31	33	33	33	33	33	33	33	33
Closed Lower	17	14	18	19	18	18	20	16	10	14	17
Penetrated Low	14	11	16	14	13	16	15	9	8	11	11
Scenario Percentage	82%	79%	89%	74%	72%	89%	75%	56%	80%	79%	65%
Avg Max Decline	3.83%	4.96%	3.96%	5.19%	4.47%	4.06%	3.46%	3.84%	3.52%	3.56%	5.06%
Max Decline	8.37%	12.55%	9.79%	9.67%	10.11%	7.86%	7.30%	6.07%	6.77%	7.78%	27.68%
Avg Days To Max Decline	19	20	21	21	17	16	17	16	14	9	9
Avg Max Increase	-1.18%	-1.15%	-1.36%	-1.14%	-1.29%	-0.51%	-1.39%	-1.00%	-2.05%	-0.70%	-0.67%
Max Increase	-3.95%	-5.62%	-3.63%	-4.25%	-3.67%	-3.38%	-4.14%	-2.63%	-5.15%	-2.00%	-3.10%
Avg Days to Max Increase	9	11	7	7	11	6	10	4	9	3	4
2007 Contract Condition	Yes		Yes		Yes	Yes		Yes
Action	No		Yes		Yes	No		No
High	84.82	84.06	84.55	84.78	84.40	83.43	84.47	85.36	86.50	86.80	92.00
Low	81.72	81.75	82.73	83.13	82.44	81.32	82.69	82.59	83.00	84.47	86.16
Close/Last	82.45	83.98	83.94	84.25	82.84	82.82	83.97	83.58	86.45	86.71	88.52