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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Swiss Franc(CME) as of Jan 01, 2010
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 28 30 33 35 35 35 35 35 35 35 35
Closed Higher 10 15 15 14 16 16 14 18 24 20 17
Exceeded High 8 11 11 11 10 14 13 16 20 13 12
Scenario Percentage 80% 73% 73% 79% 62% 88% 93% 89% 83% 65% 71%
Avg Max Increase 6.66% 4.06% 5.14% 3.63% 6.45% 6.46% 6.07% 5.78% 4.47% 4.53% 2.11%
Max Increase 14.24% 11.04% 8.65% 9.43% 14.68% 16.98% 18.03% 11.77% 11.82% 9.17% 3.97%
Avg Days To Max Increase 19 19 17 17 18 16 22 17 18 12 6
Avg Max Decline -0.84% -1.47% -1.66% -1.31% -0.84% -0.77% -1.85% -1.40% -1.38% -0.75% -0.52%
Max Decline -2.60% -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 11 7 7 10 7 7 14 7 10 3 3
2009 Contract Condition     Yes   Yes   Yes Yes Yes Yes Yes
Action     Yes   Yes   Yes 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 28 30 33 35 35 35 35 35 35 35 35
Closed Lower 18 15 18 21 19 19 21 17 11 15 18
Penetrated Low 15 12 16 15 13 16 16 10 9 12 11
Scenario Percentage 83% 80% 89% 71% 68% 84% 76% 59% 82% 80% 61%
Avg Max Decline 3.72% 4.70% 3.96% 5.02% 4.47% 4.06% 3.76% 4.06% 4.16% 3.77% 5.06%
Max Decline 8.37% 12.55% 9.79% 9.67% 10.11% 7.86% 8.26% 6.07% 9.25% 7.78% 27.68%
Avg Days To Max Decline 19 19 21 19 17 16 17 17 15 10 9
Avg Max Increase -1.21% -1.22% -1.36% -1.06% -1.29% -0.51% -1.33% -1.24% -1.91% -0.70% -0.67%
Max Increase -3.95% -5.62% -3.63% -4.25% -3.67% -3.38% -4.14% -3.47% -5.15% -2.00% -3.10%
Avg Days to Max Increase 9 11 7 7 11 6 10 5 8 3 4
2009 Contract Condition Yes Yes   Yes   Yes          
Action Yes Yes   No   No          
High 94.40 88.05 90.03 89.29 94.07 94.55 94.33 95.07 98.19 99.71 100.90
Low 86.60 85.58 84.73 85.96 88.15 90.98 91.52 92.02 93.48 95.71 96.75
Close/Last 86.60 86.30 88.33 88.15 93.91 92.33 93.73 94.47 96.60 97.58 99.39

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