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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 Aug 18, 2023
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   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   28 20 27 23 23 28 21 16 23 16 24
Exceeded High   22 14 20 17 19 19 14 14 20 13 15
Scenario Percentage   79% 70% 74% 74% 83% 68% 67% 88% 87% 81% 63%
Avg Max Increase   2.52% 2.57% 2.09% 2.61% 2.65% 2.73% 2.15% 2.00% 2.07% 1.55% 1.52%
Max Increase   10.35% 8.40% 4.32% 5.66% 11.64% 9.54% 4.41% 4.07% 4.62% 4.39% 3.58%
Avg Days To Max Increase   17 15 22 17 16 15 16 19 19 7 8
Avg Max Decline   -0.65% -0.91% -0.47% -0.85% -0.50% -0.54% -0.60% -0.98% -0.87% -0.64% -0.27%
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 9 9 11 5 8 6 14 10 6 2
2023 Contract Condition     Yes   Yes     Yes Yes   Yes  
Action     Yes   Yes     Yes No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 25 18 22 22 17 23 28 22 29 21
Penetrated Low   13 14 13 16 15 14 17 22 16 21 14
Scenario Percentage   87% 56% 72% 73% 68% 82% 74% 79% 73% 72% 67%
Avg Max Decline   1.89% 2.60% 3.20% 2.34% 3.90% 1.70% 2.43% 3.10% 2.92% 2.31% 1.69%
Max Decline   5.05% 4.79% 8.04% 5.52% 17.72% 3.91% 7.78% 10.47% 9.18% 5.91% 4.26%
Avg Days To Max Decline   15 18 17 18 17 15 18 21 17 10 8
Avg Max Increase   -0.35% -0.77% -1.02% -0.50% -0.97% -0.80% -0.99% -0.73% -0.51% -0.59% -0.20%
Max Increase   -1.75% -3.73% -4.75% -2.16% -3.44% -2.32% -4.44% -2.60% -1.37% -2.65% -0.66%
Avg Days to Max Increase   4 8 8 9 9 7 11 7 9 6 1
2023 Contract Condition   Yes   Yes   Yes Yes     Yes   Yes
Action   Yes   Yes   Yes Yes     No   Yes
High 80.35 80.55 79.12 79.69 78.17 78.59 77.22 74.23 75.74 74.83 75.22 75.42
Low 77.56 77.60 76.43 76.55 75.69 76.13 72.38 71.70 72.57 73.04 73.10 73.18
Close/Last 80.05 77.88 79.06 77.75 78.05 76.22 72.51 73.54 74.54 73.92 75.18 73.39

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