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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, 2013
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   30 33 34 35 36 36 36 36 36 36 36
Closed Higher   15 13 18 12 17 20 23 17 24 17 20
Exceeded High   10 12 17 11 16 16 19 11 16 12 15
Scenario Percentage   67% 92% 94% 92% 94% 80% 83% 65% 67% 71% 75%
Avg Max Increase   2.29% 2.02% 2.10% 2.18% 2.62% 3.62% 2.50% 2.29% 2.15% 2.26% 1.20%
Max Increase   4.18% 4.76% 5.24% 4.27% 5.80% 15.45% 10.55% 4.69% 3.75% 4.25% 2.93%
Avg Days To Max Increase   18 18 17 14 21 16 16 18 22 12 9
Avg Max Decline   -0.43% -0.96% -0.72% -0.63% -0.89% -0.50% -0.58% -1.25% -0.57% -0.26% -0.37%
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   5 13 11 10 10 6 7 12 9 5 4
2012 Contract Condition   Yes   Yes Yes Yes   Yes   Yes Yes Yes
Action   No   Yes Yes Yes   No   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   30 33 34 35 36 36 36 36 36 36 36
Closed Lower   15 20 15 23 19 16 13 19 12 19 16
Penetrated Low   10 14 11 18 12 12 12 12 8 13 8
Scenario Percentage   67% 70% 73% 78% 63% 75% 92% 63% 67% 68% 50%
Avg Max Decline   2.74% 2.55% 2.28% 2.56% 2.47% 1.66% 1.97% 2.14% 2.99% 2.04% 1.43%
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 14 15 18 17 12 11
Avg Max Increase   -0.54% -0.36% -0.41% -0.35% -0.50% -0.43% -0.44% -0.28% -0.91% -0.27% -0.34%
Max Increase   -4.24% -2.44% -1.43% -1.31% -2.63% -1.78% -1.78% -1.33% -2.06% -1.77% -0.92%
Avg Days to Max Increase   5 6 10 3 6 7 4 8 8 5 2
2012 Contract Condition     Yes       Yes   Yes      
Action     No       Yes   Yes      
High 101.91 100.45 100.01 98.65 99.36 100.89 101.10 101.68 101.40 98.24 99.87 101.56
Low 95.36 93.58 94.80 95.72 96.86 99.10 99.30 99.15 96.25 95.54 97.40 99.06
Close/Last 95.36 100.01 97.54 97.92 99.23 100.69 99.90 100.94 96.59 98.16 99.62 101.44

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