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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December US Dollar Index(ICE) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 21 21 21 22 22 22 22 22 22 22 22
Closed Higher 13 9 10 7 12 11 12 8 8 7 10
Exceeded High 10 7 9 6 10 11 7 4 8 5 6
Scenario Percentage 77% 78% 90% 86% 83% 100% 58% 50% 100% 71% 60%
Avg Max Increase 2.86% 2.78% 3.52% 3.32% 2.75% 2.82% 2.62% 3.04% 3.53% 2.87% 0.89%
Max Increase 6.39% 5.08% 6.68% 7.15% 8.36% 6.64% 6.82% 5.86% 10.71% 4.08% 1.63%
Avg Days To Max Increase 20 18 19 20 10 14 15 18 18 13 6
Avg Max Decline -1.22% -0.46% -0.78% -0.89% -0.92% -0.34% -0.61% -0.84% -0.78% -0.61% -0.33%
Max Decline -2.60% -1.05% -2.76% -1.59% -2.17% -0.91% -1.43% -1.52% -2.13% -1.13% -1.05%
Avg Days to Max Decline 8 12 12 6 7 6 5 6 4 3 2
2007 Contract Condition Yes       Yes     Yes      
Action No       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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 21 21 21 22 22 22 22 22 22 22 22
Closed Lower 8 12 11 15 10 11 10 14 14 15 12
Penetrated Low 6 8 11 10 9 10 9 13 13 12 10
Scenario Percentage 75% 67% 100% 67% 90% 91% 90% 93% 93% 80% 83%
Avg Max Decline 3.99% 3.54% 3.39% 3.55% 3.49% 3.67% 3.01% 3.93% 3.98% 3.55% 4.20%
Max Decline 6.90% 6.29% 6.77% 8.27% 7.61% 7.14% 5.00% 9.15% 7.85% 6.04% 19.07%
Avg Days To Max Decline 18 24 16 15 17 19 16 16 20 11 13
Avg Max Increase -0.66% -1.33% -0.98% -0.35% -0.51% -0.30% -1.17% -0.63% -1.08% -0.51% -0.60%
Max Increase -1.32% -4.94% -2.95% -1.44% -1.28% -1.50% -3.33% -2.41% -3.06% -1.55% -1.85%
Avg Days to Max Increase 6 10 6 5 4 5 13 6 11 6 4
2007 Contract Condition   Yes Yes Yes   Yes Yes   Yes Yes Yes
Action   Yes Yes No   Yes Yes   Yes Yes Not Yet
High 84.360 84.170 83.330 82.430 81.870 82.700 81.250 81.780 80.900 78.800 76.830
Low 82.220 82.520 82.010 80.770 80.950 81.360 79.720 79.790 77.580 76.460 74.650
Close/Last 83.640 82.640 82.180 80.820 81.750 81.470 80.460 80.595 77.625 76.460 76.170

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