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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 Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   29 31 34 36 36 36 36 36 36 36 36
Closed Higher   10 15 16 14 16 17 15 19 25 20 17
Exceeded High   8 11 12 11 10 15 14 17 21 13 12
Scenario Percentage   80% 73% 75% 79% 63% 88% 93% 89% 84% 65% 71%
Avg Max Increase   6.66% 4.06% 4.78% 3.63% 6.45% 6.43% 6.14% 5.87% 4.43% 4.44% 2.01%
Max Increase   14.24% 11.04% 8.65% 9.43% 14.68% 16.98% 18.03% 11.77% 11.82% 9.17% 3.63%
Avg Days To Max Increase   19 19 16 17 18 17 22 17 18 11 6
Avg Max Decline   -0.84% -1.47% -1.55% -1.31% -0.84% -0.72% -1.86% -1.38% -1.32% -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 6 10 7 7 14 7 10 3 3
2010 Contract Condition       Yes     Yes Yes Yes Yes    
Action       Yes     Yes Yes Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   29 31 34 36 36 36 36 36 36 36 36
Closed Lower   19 16 18 22 20 19 21 17 11 16 19
Penetrated Low   16 13 16 16 13 16 16 10 9 13 11
Scenario Percentage   84% 81% 89% 73% 65% 84% 76% 59% 82% 81% 58%
Avg Max Decline   3.62% 4.44% 3.96% 5.15% 4.47% 4.06% 3.76% 4.06% 4.16% 3.65% 1.65%
Max Decline   8.37% 12.55% 9.79% 9.67% 10.11% 7.86% 8.26% 6.07% 9.25% 7.78% 5.75%
Avg Days To Max Decline   19 20 21 20 17 16 17 17 15 9 6
Avg Max Increase   -1.17% -1.33% -1.36% -0.99% -1.29% -0.51% -1.33% -1.24% -1.91% -0.89% -0.27%
Max Increase   -3.95% -5.62% -3.63% -4.25% -3.67% -3.38% -4.14% -3.47% -5.15% -3.20% -1.16%
Avg Days to Max Increase   8 12 7 7 11 6 10 5 8 3 2
2010 Contract Condition   Yes Yes   Yes Yes         Yes Yes
Action   Yes Yes   Yes No         Yes Yes
High 100.50 98.79 95.05 95.30 95.85 93.12 93.16 96.61 98.75 103.09 105.72 104.76
Low 95.79 94.53 92.61 92.99 92.09 86.51 86.55 93.16 94.35 97.37 100.74 99.46
Close/Last 97.10 94.53 93.30 95.09 93.12 86.98 93.16 96.30 98.50 101.95 101.51 99.68

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