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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Canadian Dollar(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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   34 35 36 38 38 38 38 39 39 39 39
Closed Higher   17 21 23 18 15 21 12 19 22 26 16
Exceeded High   13 16 15 12 14 17 11 17 17 20 8
Scenario Percentage   76% 76% 65% 67% 93% 81% 92% 89% 77% 77% 50%
Avg Max Increase   2.49% 2.99% 3.03% 2.05% 1.96% 2.11% 2.13% 2.86% 3.60% 2.25% 1.28%
Max Increase   5.50% 11.46% 9.39% 4.29% 4.34% 4.98% 4.31% 5.92% 15.65% 10.60% 2.63%
Avg Days To Max Increase   20 21 15 15 19 19 15 22 18 11 8
Avg Max Decline   -0.54% -0.44% -0.45% -0.45% -0.93% -0.84% -0.71% -1.12% -0.54% -0.53% -0.43%
Max Decline   -2.99% -2.51% -2.55% -2.21% -3.26% -4.68% -2.02% -3.58% -1.59% -1.99% -0.83%
Avg Days to Max Decline   5 5 9 5 16 11 8 11 7 5 2
2015 Contract Condition     Yes           Yes   Yes  
Action     No           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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   34 35 36 38 38 38 38 39 39 39 39
Closed Lower   17 14 13 19 23 17 26 19 17 13 23
Penetrated Low   11 8 13 13 18 14 21 14 13 12 13
Scenario Percentage   65% 57% 100% 68% 78% 82% 81% 74% 76% 92% 57%
Avg Max Decline   2.05% 4.95% 1.65% 2.61% 3.11% 2.74% 2.44% 2.13% 1.53% 1.83% 1.11%
Max Decline   5.49% 17.67% 3.99% 7.59% 10.34% 9.06% 6.02% 3.75% 4.44% 6.31% 1.80%
Avg Days To Max Decline   17 18 17 16 21 16 13 14 14 15 7
Avg Max Increase   -0.32% -0.72% -0.72% -0.60% -0.52% -0.54% -0.60% -0.49% -0.51% -0.50% -0.06%
Max Increase   -1.54% -3.31% -2.35% -4.26% -2.62% -1.38% -2.57% -2.84% -1.82% -1.86% -0.41%
Avg Days to Max Increase   10 11 8 5 6 9 5 5 9 5 1
2015 Contract Condition   Yes   Yes Yes Yes Yes Yes   Yes   Yes
Action   Yes   Yes Yes Yes Yes Yes   No   Yes
High 93.00 93.35 91.61 91.29 89.66 88.76 87.96 85.63 80.76 80.49 83.66 83.86
Low 90.63 90.97 90.34 88.70 87.61 86.88 85.36 78.02 78.30 77.81 78.60 79.72
Close/Last 92.97 91.06 91.36 88.70 88.18 87.02 85.79 78.74 79.79 78.92 82.68 80.33

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