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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Australian Dollar(CME) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   19 19 19 26 27 28 29 30 30 30 30
Closed Higher   7 14 10 18 9 16 14 14 16 20 16
Exceeded High   5 13 10 14 8 13 13 13 14 16 11
Scenario Percentage   71% 93% 100% 78% 89% 81% 93% 93% 88% 80% 69%
Avg Max Increase   4.16% 5.30% 4.71% 4.16% 2.61% 3.59% 3.42% 4.12% 4.46% 3.86% 1.78%
Max Increase   5.69% 13.48% 15.16% 12.59% 5.02% 9.61% 8.52% 11.04% 9.75% 8.12% 4.11%
Avg Days To Max Increase   11 19 15 18 13 15 18 17 14 11 10
Avg Max Decline   -0.27% -1.46% -0.71% -0.74% -1.07% -1.22% -2.02% -1.23% -1.13% -0.71% -0.40%
Max Decline   -0.84% -5.28% -2.13% -4.00% -3.41% -4.51% -10.20% -3.23% -3.12% -2.43% -1.25%
Avg Days to Max Decline   2 8 4 5 12 7 16 7 8 4 3
2016 Contract Condition     Yes Yes     Yes Yes   Yes    
Action     Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   19 19 19 26 27 28 29 30 30 30 30
Closed Lower   12 5 9 8 18 12 15 16 14 10 14
Penetrated Low   6 4 5 8 14 7 13 11 9 8 7
Scenario Percentage   50% 80% 56% 100% 78% 58% 87% 69% 64% 80% 50%
Avg Max Decline   3.78% 4.76% 4.99% 5.23% 2.87% 4.45% 5.35% 6.84% 6.07% 2.87% 2.24%
Max Decline   11.65% 8.78% 10.14% 11.64% 6.26% 11.65% 16.33% 29.41% 24.23% 6.50% 3.69%
Avg Days To Max Decline   9 14 17 22 17 11 15 17 21 16 11
Avg Max Increase   -2.14% -0.43% -0.59% -1.16% -1.38% -1.12% -1.24% -1.06% -1.38% -1.44% -0.74%
Max Increase   -6.58% -0.74% -1.57% -2.41% -4.71% -2.36% -5.96% -3.09% -3.42% -2.36% -1.87%
Avg Days to Max Increase   10 4 11 10 10 12 11 8 9 8 6
2016 Contract Condition   Yes     Yes Yes     Yes   Yes Yes
Action   No     Yes No     Yes   Yes Yes
High 72.31 70.81 71.51 76.09 77.38 76.10 75.86 76.36 77.28 77.13 77.25 77.71
Low 70.01 67.65 69.24 70.91 74.27 71.21 71.60 73.68 74.70 74.23 74.94 73.05
Close/Last 71.86 69.71 70.52 75.89 75.33 71.69 74.01 75.71 74.94 76.49 75.92 73.86

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