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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, 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   24 27 29 31 35 36 36 36 36 36 36
Closed Higher   12 13 13 11 18 16 18 15 16 16 19
Exceeded High   11 10 8 8 14 12 14 14 11 12 13
Scenario Percentage   92% 77% 62% 73% 78% 75% 78% 93% 69% 75% 68%
Avg Max Increase   4.27% 4.72% 3.96% 5.28% 6.50% 4.11% 4.27% 4.79% 4.68% 3.60% 2.57%
Max Increase   13.76% 8.75% 13.24% 10.42% 19.60% 10.41% 10.48% 15.22% 10.40% 7.20% 8.13%
Avg Days To Max Increase   18 21 15 16 16 16 13 16 17 13 9
Avg Max Decline   -1.25% -0.75% -0.84% -1.39% -0.66% -0.89% -0.82% -1.30% -1.09% -1.57% -0.48%
Max Decline   -6.14% -3.06% -2.73% -6.03% -3.10% -3.16% -3.91% -4.06% -2.72% -3.97% -2.67%
Avg Days to Max Decline   9 7 15 12 9 5 7 7 9 7 3
2012 Contract Condition     Yes Yes Yes     Yes Yes   Yes  
Action     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   24 27 29 31 35 36 36 36 36 36 36
Closed Lower   12 14 16 20 17 20 18 21 20 20 17
Penetrated Low   11 13 15 18 14 17 15 17 15 15 9
Scenario Percentage   92% 93% 94% 90% 82% 85% 83% 81% 75% 75% 53%
Avg Max Decline   3.60% 4.35% 3.41% 3.68% 5.11% 3.31% 4.48% 4.50% 4.44% 3.00% 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   22 15 14 21 14 15 16 19 16 10 10
Avg Max Increase   -1.49% -0.67% -0.36% -1.43% -0.68% -0.98% -0.45% -0.97% -0.91% -1.13% -0.61%
Max Increase   -4.18% -2.95% -1.77% -4.05% -4.35% -3.00% -1.94% -2.12% -2.64% -3.88% -2.28%
Avg Days to Max Increase   13 10 5 10 5 11 4 7 6 5 5
2012 Contract Condition   Yes       Yes Yes     Yes   Yes
Action   Yes       Yes No     No   Not Yet
High 131.73 132.85 131.26 130.71 131.70 131.70 124.16 125.59 128.01 128.95 128.54 128.42
Low 129.73 128.97 128.60 128.77 128.84 123.47 119.15 120.33 124.25 124.16 124.92 125.56
Close/Last 130.59 128.97 129.83 130.71 131.70 123.47 120.91 125.50 127.82 125.35 128.07 127.67

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