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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Canadian Dollar(CME) as of Jan 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   37 39 39 40 40 40 40 40 40 40 40
Closed Higher   25 17 23 19 22 26 19 14 21 12 22
Exceeded High   21 10 17 13 18 18 12 13 18 11 13
Scenario Percentage   84% 59% 74% 68% 82% 69% 63% 93% 86% 92% 59%
Avg Max Increase   2.40% 2.28% 1.93% 2.83% 2.78% 2.79% 2.12% 1.93% 2.01% 1.76% 1.54%
Max Increase   10.35% 4.44% 3.96% 5.66% 11.64% 9.54% 4.41% 4.07% 4.62% 4.39% 3.58%
Avg Days To Max Increase   19 17 21 19 17 16 15 19 18 8 8
Avg Max Decline   -0.57% -1.28% -0.49% -0.66% -0.50% -0.56% -0.49% -1.03% -0.79% -0.69% -0.25%
Max Decline   -2.05% -6.78% -1.87% -2.99% -2.56% -2.54% -2.24% -3.31% -4.63% -2.04% -1.31%
Avg Days to Max Decline   8 12 10 10 5 9 5 15 9 7 2
2017 Contract Condition   Yes   Yes     Yes       Yes  
Action   No   No     No       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   37 39 39 40 40 40 40 40 40 40 40
Closed Lower   12 22 16 21 18 14 20 26 19 28 18
Penetrated Low   10 12 12 15 11 13 14 20 16 21 11
Scenario Percentage   83% 55% 75% 71% 61% 93% 70% 77% 84% 75% 61%
Avg Max Decline   2.06% 2.72% 3.03% 2.22% 4.40% 1.74% 2.58% 3.26% 2.92% 2.22% 1.32%
Max Decline   5.05% 4.79% 8.04% 5.52% 17.72% 3.91% 7.78% 10.47% 9.18% 5.91% 2.82%
Avg Days To Max Decline   14 18 18 19 19 15 17 20 17 10 8
Avg Max Increase   -0.34% -0.53% -1.02% -0.34% -0.80% -0.68% -0.80% -0.54% -0.51% -0.54% -0.17%
Max Increase   -1.75% -2.06% -4.75% -1.56% -3.43% -1.89% -4.44% -2.60% -1.37% -2.65% -0.47%
Avg Days to Max Increase   3 8 8 8 12 7 8 8 9 4 2
2017 Contract Condition     Yes   Yes Yes   Yes   Yes    
Action     Yes   Yes Yes   Yes   Not Yet    
High 77.81 79.99 79.98 79.05 77.93 78.39 78.03 77.00 75.47 76.55 77.15  
Low 74.00 75.74 75.95 76.21 75.59 75.89 75.39 74.54 73.68 73.61 74.35  
Close/Last 77.12 79.74 76.21 77.13 76.73 76.32 76.33 74.59 74.59 74.41 76.83  

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