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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Australian Dollar(CME) as of Mar 31, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   18 18 19 24 26 26 28 30 30 30 30
Closed Higher   7 6 10 18 14 13 11 21 17 21 11
Exceeded High   6 5 8 13 12 9 8 18 14 17 9
Scenario Percentage   86% 83% 80% 72% 86% 69% 73% 86% 82% 81% 82%
Avg Max Increase   3.95% 5.94% 5.87% 3.94% 3.29% 3.22% 3.87% 5.43% 5.11% 4.11% 1.74%
Max Increase   8.04% 10.62% 9.22% 7.04% 8.54% 7.74% 6.06% 15.17% 15.68% 13.56% 3.48%
Avg Days To Max Increase   22 22 17 19 14 18 15 21 18 9 6
Avg Max Decline   -2.88% -1.58% -0.61% -0.66% -0.89% -1.50% -0.37% -1.50% -0.91% -0.73% -0.35%
Max Decline   -8.29% -2.11% -1.95% -1.60% -4.15% -3.97% -1.05% -5.42% -2.35% -1.99% -1.19%
Avg Days to Max Decline   26 3 5 8 8 11 4 9 6 4 2
2017 Contract Condition   Yes   Yes       Yes Yes      
Action   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   18 18 19 24 26 26 28 30 30 30 30
Closed Lower   11 12 9 6 12 12 17 9 13 9 19
Penetrated Low   10 6 6 5 7 9 10 7 9 9 11
Scenario Percentage   91% 50% 67% 83% 58% 75% 59% 78% 69% 100% 58%
Avg Max Decline   5.65% 9.33% 6.75% 3.01% 4.30% 3.21% 3.58% 4.10% 4.49% 5.43% 2.08%
Max Decline   15.68% 27.82% 22.66% 7.62% 8.57% 6.21% 11.76% 9.22% 10.75% 10.03% 6.17%
Avg Days To Max Decline   15 11 19 22 22 16 12 16 16 14 6
Avg Max Increase   -1.39% -0.04% -1.00% -1.41% -1.71% -1.53% -1.16% -0.63% -0.92% -1.22% -0.12%
Max Increase   -5.47% -1.05% -1.86% -1.68% -4.82% -3.84% -2.67% -1.13% -1.82% -2.29% -2.30%
Avg Days to Max Increase   10 5 8 15 16 8 10 4 17 5 2
2017 Contract Condition     Yes   Yes Yes Yes     Yes    
Action     Yes   Yes Yes No     Not Yet    
High 75.09 75.60 76.80 76.60 76.75 77.33 74.88 75.85 77.21 77.37    
Low 71.44 73.37 74.63 74.06 74.80 72.90 71.32 71.65 75.29 74.77    
Close/Last 73.57 75.35 74.67 76.18 75.61 73.56 71.86 75.62 76.50 76.36    

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