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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Japanese Yen(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   20 23 25 27 31 32 32 32 32 32 32
Closed Higher   10 10 10 8 16 16 15 12 14 12 16
Exceeded High   9 8 7 7 12 12 11 11 9 8 11
Scenario Percentage   90% 80% 70% 88% 75% 75% 73% 92% 64% 67% 69%
Avg Max Increase   3.85% 4.62% 4.42% 5.73% 7.07% 4.11% 4.56% 5.19% 4.42% 3.99% 2.68%
Max Increase   13.76% 8.66% 13.24% 10.42% 19.60% 10.41% 10.48% 15.22% 10.40% 7.20% 8.13%
Avg Days To Max Increase   20 21 17 18 17 16 14 16 16 13 9
Avg Max Decline   -1.39% -0.84% -0.75% -1.34% -0.59% -0.89% -0.79% -1.07% -1.08% -1.16% -0.39%
Max Decline   -6.14% -3.06% -2.73% -6.03% -3.10% -3.16% -3.91% -4.06% -2.72% -3.38% -2.67%
Avg Days to Max Decline   11 6 13 11 9 5 7 8 9 6 3
2008 Contract Condition     Yes   Yes Yes Yes          
Action     Yes   Yes Yes No          
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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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   20 23 25 27 31 32 32 32 32 32 32
Closed Lower   10 13 15 19 15 16 17 20 18 20 16
Penetrated Low   9 12 14 17 12 14 14 17 15 15 9
Scenario Percentage   90% 92% 93% 89% 80% 88% 82% 85% 83% 75% 56%
Avg Max Decline   3.98% 4.62% 3.64% 3.76% 5.30% 3.54% 4.72% 4.50% 4.44% 2.97% 2.05%
Max Decline   8.63% 8.84% 8.78% 9.65% 10.51% 8.89% 13.18% 8.68% 15.17% 15.70% 6.64%
Avg Days To Max Decline   23 15 15 21 15 17 17 19 16 10 10
Avg Max Increase   -1.35% -0.62% -0.26% -1.47% -0.45% -0.98% -0.48% -0.97% -0.91% -1.13% -0.61%
Max Increase   -2.52% -2.95% -1.75% -4.05% -2.73% -3.00% -1.94% -2.12% -2.64% -3.88% -2.28%
Avg Days to Max Increase   12 10 5 10 4 12 4 7 6 5 5
2008 Contract Condition   Yes   Yes       Yes Yes Yes Yes Yes
Action   No   No       Yes Yes Yes Yes Not Yet
High 91.87 90.57 95.74 93.49 96.39 97.32 105.08 101.17 98.08 96.78 96.72 93.44
Low 89.37 88.01 89.20 89.67 92.63 93.38 97.11 96.11 95.03 92.51 92.48 90.13
Close/Last 90.37 89.54 92.50 91.64 95.16 97.14 101.07 96.94 95.38 94.71 92.92 92.02

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