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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Canadian Dollar(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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   32 34 34 35 35 35 35 35 35 35 35
Closed Higher   20 16 20 16 20 24 17 13 19 11 18
Exceeded High   18 9 14 11 17 18 12 12 17 10 12
Scenario Percentage   90% 56% 70% 69% 85% 75% 71% 92% 89% 91% 67%
Avg Max Increase   2.55% 2.30% 1.91% 2.91% 2.82% 2.79% 2.12% 1.98% 1.97% 1.74% 1.57%
Max Increase   10.35% 4.44% 3.96% 5.66% 11.64% 9.54% 4.41% 4.07% 4.62% 4.39% 3.58%
Avg Days To Max Increase   20 19 22 20 18 16 15 19 17 9 9
Avg Max Decline   -0.60% -1.33% -0.50% -0.48% -0.49% -0.56% -0.49% -1.09% -0.75% -0.74% -0.34%
Max Decline   -2.05% -6.78% -1.87% -2.99% -2.56% -2.54% -2.24% -3.31% -4.63% -2.04% -1.31%
Avg Days to Max Decline   9 13 10 9 5 9 5 14 9 8 2
2011 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   32 34 34 35 35 35 35 35 35 35 35
Closed Lower   12 18 14 19 15 11 17 22 16 24 17
Penetrated Low   10 8 10 13 9 11 11 17 13 19 10
Scenario Percentage   83% 44% 71% 68% 60% 100% 65% 77% 81% 79% 59%
Avg Max Decline   2.06% 2.84% 2.91% 2.15% 4.25% 1.68% 2.68% 2.38% 2.17% 2.24% 1.46%
Max Decline   5.05% 4.42% 8.04% 5.52% 17.72% 3.91% 7.78% 4.78% 4.53% 5.91% 2.82%
Avg Days To Max Decline   14 19 19 17 19 17 17 19 15 11 9
Avg Max Increase   -0.34% -0.29% -1.26% -0.24% -0.79% -0.69% -0.80% -0.50% -0.53% -0.43% -0.14%
Max Increase   -1.75% -1.16% -4.75% -1.56% -3.43% -1.89% -4.44% -2.60% -1.35% -1.49% -0.47%
Avg Days to Max Increase   3 6 10 6 12 8 7 8 10 3 2
2011 Contract Condition   Yes Yes Yes   Yes     Yes   Yes  
Action   Yes No Yes   No     No   Not Yet  
High 98.82 99.91 98.45 98.00 97.00 98.30 97.63 99.75 99.91 100.61 101.53 102.96
Low 94.41 97.50 92.87 93.84 93.40 93.38 93.38 96.05 97.01 97.16 99.32 99.83
Close/Last 98.10 97.81 94.89 93.84 96.74 93.38 96.91 97.70 97.28 100.44 99.78 102.94

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