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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Australian Dollar(CME) as of Jun 30, 2017
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   19 19 19 24 25 27 30 30 30 30 30
Closed Higher   14 10 9 10 18 15 21 11 18 15 14
Exceeded High   10 8 8 7 17 13 18 11 15 12 9
Scenario Percentage   71% 80% 89% 70% 94% 87% 86% 100% 83% 80% 64%
Avg Max Increase   3.67% 3.78% 2.92% 4.11% 5.30% 5.20% 4.27% 2.99% 3.80% 2.73% 1.96%
Max Increase   6.89% 8.30% 6.67% 5.86% 14.85% 15.44% 13.38% 6.14% 9.66% 5.75% 2.99%
Avg Days To Max Increase   19 11 13 15 19 17 18 13 15 12 11
Avg Max Decline   -0.63% -0.77% -0.79% -0.17% -1.27% -0.85% -0.83% -1.06% -1.10% -1.40% -0.83%
Max Decline   -2.13% -3.83% -3.36% -0.83% -5.29% -2.34% -4.12% -3.37% -4.56% -2.99% -2.28%
Avg Days to Max Decline   7 11 9 4 10 4 5 9 7 14 3
2017 Contract Condition         Yes Yes       Yes    
Action         Yes Yes       Not Yet    
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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   19 19 19 24 25 27 30 30 30 30 30
Closed Lower   5 9 10 14 7 12 9 19 12 15 16
Penetrated Low   4 6 6 9 5 8 9 14 6 13 8
Scenario Percentage   80% 67% 60% 64% 71% 67% 100% 74% 50% 87% 50%
Avg Max Decline   3.37% 4.33% 3.27% 3.26% 5.36% 4.67% 5.68% 2.90% 5.28% 4.70% 3.42%
Max Decline   7.59% 8.26% 5.98% 11.67% 8.85% 10.49% 11.67% 6.32% 11.68% 15.72% 7.69%
Avg Days To Max Decline   22 23 10 11 21 17 21 16 12 13 10
Avg Max Increase   -1.45% -1.60% -1.74% -1.48% -0.66% -0.64% -1.28% -1.23% -1.35% -1.32% -0.56%
Max Increase   -1.54% -4.75% -3.74% -6.67% -0.89% -1.57% -2.27% -4.92% -2.41% -6.02% -2.93%
Avg Days to Max Increase   17 19 11 8 6 13 9 8 14 11 3
2017 Contract Condition   Yes Yes Yes     Yes Yes Yes      
Action   Yes Yes No     Yes Yes Not Yet      
High 76.27 76.54 76.98 74.60 75.61 77.00 77.25 76.16 75.38 77.05    
Low 73.92 74.78 72.93 71.27 71.65 75.11 74.67 74.24 73.15 73.62    
Close/Last 76.03 75.47 73.43 71.72 75.49 76.38 76.25 74.67 74.23 76.75    

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