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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March British Pound(CME) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   26 28 33 40 40 40 40 40 40 40 40
Closed Higher   18 9 18 22 18 23 21 16 23 16 21
Exceeded High   12 7 14 16 13 18 16 14 16 10 11
Scenario Percentage   67% 78% 78% 73% 72% 78% 76% 88% 70% 63% 52%
Avg Max Increase   3.33% 5.38% 3.04% 2.90% 4.42% 4.92% 4.02% 3.78% 3.10% 2.96% 1.90%
Max Increase   12.74% 12.78% 11.10% 6.15% 9.32% 13.69% 9.95% 8.88% 7.68% 6.15% 5.08%
Avg Days To Max Increase   22 23 17 16 16 16 15 19 16 9 8
Avg Max Decline   -0.87% -1.31% -0.80% -1.47% -0.57% -0.70% -0.85% -1.35% -0.54% -0.71% -0.38%
Max Decline   -3.17% -2.83% -2.84% -8.60% -2.75% -3.41% -2.53% -4.03% -1.88% -2.61% -1.03%
Avg Days to Max Decline   13 9 9 7 9 9 6 11 5 7 2
2015 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   26 28 33 40 40 40 40 40 40 40 40
Closed Lower   8 19 15 18 22 17 19 24 17 24 19
Penetrated Low   8 11 11 15 15 14 14 16 15 19 14
Scenario Percentage   100% 58% 73% 83% 68% 82% 74% 67% 88% 79% 74%
Avg Max Decline   3.25% 4.58% 3.33% 4.20% 4.44% 5.38% 3.67% 3.80% 4.68% 3.47% 2.29%
Max Decline   6.46% 12.12% 8.32% 11.58% 15.28% 18.14% 10.72% 12.29% 10.36% 8.09% 4.89%
Avg Days To Max Decline   18 17 11 17 15 18 19 20 16 10 9
Avg Max Increase   -0.60% -0.84% -0.82% -0.92% -0.75% -0.74% -1.03% -1.53% -1.22% -0.79% -0.28%
Max Increase   -2.18% -3.43% -3.25% -3.52% -3.22% -1.77% -4.65% -6.17% -5.49% -3.34% -2.12%
Avg Days to Max Increase   6 6 9 10 8 7 6 11 7 6 3
2015 Contract Condition     Yes   Yes Yes Yes Yes Yes Yes Yes  
Action     No   Yes Yes Yes Yes Yes Yes Yes  
High 167.01 168.34 169.49 170.53 171.09 168.38 164.94 162.24 160.10 157.76 155.77 155.52
Low 164.43 165.27 166.62 166.97 168.38 165.13 160.60 158.70 155.76 154.76 149.46 149.83
Close/Last 166.19 168.34 167.17 170.53 168.38 165.29 161.74 159.72 156.06 155.70 150.53 154.36

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