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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Canadian 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   34 37 38 39 40 40 40 40 40 40 40
Closed Higher   16 14 19 12 20 23 27 18 26 18 21
Exceeded High   10 13 18 11 19 19 23 12 17 12 15
Scenario Percentage   63% 93% 95% 92% 95% 83% 85% 67% 65% 67% 71%
Avg Max Increase   2.29% 1.95% 2.00% 2.18% 3.00% 3.46% 2.31% 2.28% 2.05% 2.31% 1.26%
Max Increase   4.18% 4.76% 5.24% 4.27% 8.23% 15.45% 10.55% 4.69% 3.75% 4.80% 3.29%
Avg Days To Max Increase   18 18 16 14 21 14 16 16 20 13 10
Avg Max Decline   -0.43% -0.91% -0.70% -0.63% -0.99% -0.59% -0.63% -1.24% -0.54% -0.26% -0.37%
Max Decline   -2.20% -3.09% -4.64% -1.99% -3.50% -1.84% -2.37% -6.76% -1.71% -0.69% -0.87%
Avg Days to Max Decline   5 14 10 10 10 7 6 11 9 5 4
2016 Contract Condition   Yes       Yes Yes Yes   Yes    
Action   No       Yes Yes Yes   No    
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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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   34 37 38 39 40 40 40 40 40 40 40
Closed Lower   18 23 18 27 20 17 13 22 14 22 19
Penetrated Low   13 17 14 21 13 12 12 15 10 15 9
Scenario Percentage   72% 74% 78% 78% 65% 71% 92% 68% 71% 68% 47%
Avg Max Decline   2.58% 3.49% 3.05% 2.48% 2.31% 1.66% 1.97% 2.25% 3.13% 2.06% 1.46%
Max Decline   7.57% 9.93% 8.67% 6.31% 4.29% 4.39% 6.16% 4.91% 7.59% 5.39% 2.44%
Avg Days To Max Decline   18 21 16 14 15 14 15 18 17 14 12
Avg Max Increase   -0.53% -0.40% -0.32% -0.52% -0.48% -0.43% -0.44% -0.80% -0.76% -0.37% -0.55%
Max Increase   -4.24% -2.44% -1.43% -2.62% -2.63% -1.78% -1.78% -3.76% -2.06% -1.77% -2.30%
Avg Days to Max Increase   6 7 9 5 6 7 4 9 7 7 3
2016 Contract Condition     Yes Yes Yes       Yes   Yes Yes
Action     Yes Yes No       Yes   Not Yet Yes
High 76.61 77.81 76.62 75.01 72.00 74.20 77.78 80.06 80.24 79.02 77.95 78.36
Low 74.35 75.29 74.64 71.56 68.25 71.02 73.85 75.66 75.84 76.09 75.46 75.77
Close/Last 74.83 76.41 74.92 72.42 71.42 74.06 77.08 79.74 76.16 77.12 76.69 76.24

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