MRCI's ScenarioSM Study

ScenarioSM Study for December Swiss Franc(CME) as of Dec 30, 2011
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		30	32	35	37	37	37	37	37	37	37	37
Closed Higher		10	16	17	15	17	18	16	19	25	21	17
Exceeded High		8	12	13	12	11	16	15	17	21	13	12
Scenario Percentage		80%	75%	76%	80%	65%	89%	94%	89%	84%	62%	71%
Avg Max Increase		6.66%	4.34%	5.00%	3.70%	6.66%	7.19%	6.48%	5.87%	4.43%	4.79%	2.48%
Max Increase		14.24%	11.04%	8.65%	9.43%	14.68%	18.56%	18.03%	11.77%	11.82%	9.36%	6.47%
Avg Days To Max Increase		19	20	17	18	19	16	21	17	18	12	8
Avg Max Decline		-0.84%	-1.42%	-1.51%	-1.49%	-0.77%	-0.75%	-1.78%	-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	8	7	13	7	10	3	3
2011 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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		30	32	35	37	37	37	37	37	37	37	37
Closed Lower		20	16	18	22	20	19	21	18	12	16	20
Penetrated Low		17	13	16	16	13	16	16	11	10	13	12
Scenario Percentage		85%	81%	89%	73%	65%	84%	76%	61%	83%	81%	60%
Avg Max Decline		3.59%	4.44%	3.96%	5.15%	4.47%	4.06%	3.76%	4.94%	4.06%	3.65%	1.88%
Max Decline		8.37%	12.55%	9.79%	9.67%	10.11%	7.86%	8.26%	13.81%	9.25%	7.78%	5.75%
Avg Days To Max Decline		18	20	21	20	17	16	17	16	16	9	7
Avg Max Increase		-1.14%	-1.33%	-1.36%	-0.99%	-1.29%	-0.51%	-1.33%	-1.50%	-2.28%	-0.89%	-0.30%
Max Increase		-3.95%	-5.62%	-3.63%	-4.25%	-3.67%	-3.38%	-4.14%	-4.11%	-5.61%	-3.20%	-1.16%
Avg Days to Max Increase		8	12	7	7	11	6	10	5	10	3	2
2011 Contract Condition		Yes							Yes	Yes		Yes
Action		Yes							Yes	Yes		Yes
High	107.60	107.74	108.47	111.30	115.86	117.67	121.00	127.55	141.29	129.85	116.82	114.24
Low	100.41	103.21	103.03	107.05	108.21	111.80	117.24	117.70	122.00	109.16	107.49	107.05
Close/Last	107.60	106.37	107.94	109.32	115.86	117.36	119.17	126.95	124.72	110.61	114.60	109.56