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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Canadian Dollar(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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 27 30 31 32 33 33 33 33 33 33 33
Closed Higher 13 12 15 11 14 18 21 17 22 14 19
Exceeded High 9 11 14 10 13 14 18 11 14 10 14
Scenario Percentage 69% 92% 93% 91% 93% 78% 86% 65% 64% 71% 74%
Avg Max Increase 2.23% 1.90% 2.04% 2.21% 2.42% 3.79% 2.63% 2.29% 2.03% 2.11% 1.09%
Max Increase 4.18% 4.76% 5.24% 4.27% 5.66% 15.45% 10.55% 4.69% 3.75% 4.25% 2.55%
Avg Days To Max Increase 16 19 17 16 20 17 17 18 21 13 8
Avg Max Decline -0.41% -0.90% -0.74% -0.68% -0.81% -0.51% -0.58% -1.25% -0.49% -0.24% -0.35%
Max Decline -2.20% -3.09% -4.64% -1.99% -3.50% -1.45% -2.37% -6.76% -1.71% -0.69% -0.87%
Avg Days to Max Decline 4 13 11 8 8 5 7 12 9 6 3
2009 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 27 30 31 32 33 33 33 33 33 33 33
Closed Lower 14 18 15 21 19 15 12 16 11 19 14
Penetrated Low 10 14 11 17 12 11 11 10 8 13 8
Scenario Percentage 71% 78% 73% 81% 63% 73% 92% 62% 73% 68% 57%
Avg Max Decline 2.74% 2.55% 2.28% 2.67% 2.47% 1.48% 1.59% 2.24% 2.99% 2.04% 4.03%
Max Decline 7.57% 4.66% 4.29% 6.31% 4.29% 4.39% 3.20% 4.33% 7.59% 5.39% 13.28%
Avg Days To Max Decline 18 20 13 15 16 12 15 18 17 12 12
Avg Max Increase -0.54% -0.36% -0.41% -0.31% -0.50% -0.31% -0.42% -0.31% -0.91% -0.27% -0.45%
Max Increase -4.24% -2.44% -1.43% -1.31% -2.63% -1.18% -1.78% -1.33% -2.06% -1.77% -1.50%
Avg Days to Max Increase 5 6 10 3 6 6 4 8 8 5 4
2009 Contract Condition Yes Yes   Yes Yes       Yes   Yes
Action Yes No   Yes Yes       Yes   Not Yet
High 94.28 87.12 84.57 85.19 82.36 82.27 84.35 91.82 92.77 93.06 94.08
Low 77.54 77.25 77.32 78.46 78.65 76.99 78.88 83.75 85.92 85.30 89.87
Close/Last 83.58 81.22 82.55 81.47 78.96 79.53 83.92 91.48 86.10 92.70 91.35

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