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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 Apr 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   28 31 32 33 34 34 34 34 34 34 34
Closed Higher   13 13 16 11 15 19 21 17 22 15 19
Exceeded High   9 12 15 10 14 15 18 11 14 11 14
Scenario Percentage   69% 92% 94% 91% 93% 79% 86% 65% 64% 73% 74%
Avg Max Increase   2.23% 2.02% 2.05% 2.21% 2.67% 3.68% 2.63% 2.29% 2.03% 2.13% 1.18%
Max Increase   4.18% 4.76% 5.24% 4.27% 5.80% 15.45% 10.55% 4.69% 3.75% 4.80% 3.29%
Avg Days To Max Increase   16 18 17 16 20 17 17 18 21 13 9
Avg Max Decline   -0.41% -0.96% -0.69% -0.68% -0.78% -0.52% -0.58% -1.25% -0.49% -0.23% -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 7 6 7 12 9 5 3
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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   28 31 32 33 34 34 34 34 34 34 34
Closed Lower   15 18 15 22 19 15 13 17 12 19 15
Penetrated Low   10 14 11 18 12 11 12 10 8 13 7
Scenario Percentage   67% 78% 73% 82% 63% 73% 92% 59% 67% 68% 47%
Avg Max Decline   2.74% 2.55% 2.28% 2.56% 2.47% 1.48% 1.97% 2.24% 2.99% 2.09% 1.39%
Max Decline   7.57% 4.66% 4.29% 6.31% 4.29% 4.39% 6.16% 4.33% 7.59% 5.39% 2.44%
Avg Days To Max Decline   18 20 13 14 16 12 15 18 17 13 12
Avg Max Increase   -0.54% -0.36% -0.41% -0.35% -0.50% -0.31% -0.44% -0.31% -0.91% -0.27% -0.30%
Max Increase   -4.24% -2.44% -1.43% -1.31% -2.63% -1.18% -1.78% -1.33% -2.06% -1.77% -0.92%
Avg Days to Max Increase   5 6 10 3 6 6 4 8 8 5 2
2011 Contract Condition     Yes   Yes       Yes      
Action     No   No              
High 96.65 98.82 99.28 99.93 100.75 102.42 102.85 105.42 105.50      
Low 93.01 95.73 96.64 96.80 99.08 99.30 99.85 102.50 104.70      
Close/Last 96.39 97.19 96.80 99.90 99.30 102.42 102.80 105.35 104.95      

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