MRCI's ScenarioSM Study

ScenarioSM Study for September Canadian Dollar(CME) as of Jan 01, 2018
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		35	38	39	40	41	41	41	41	41	41	41
Closed Higher		16	15	19	13	20	24	27	19	27	19	21
Exceeded High		10	14	18	11	19	20	23	13	18	13	15
Scenario Percentage		63%	93%	95%	85%	95%	83%	85%	68%	67%	68%	71%
Avg Max Increase		2.29%	2.05%	2.00%	2.18%	3.00%	3.31%	2.31%	2.77%	2.18%	2.33%	1.22%
Max Increase		4.18%	4.76%	5.24%	4.27%	8.23%	15.45%	10.55%	8.67%	4.38%	4.25%	3.29%
Avg Days To Max Increase		18	18	16	14	21	14	16	17	21	12	9
Avg Max Decline		-0.43%	-0.93%	-0.70%	-0.63%	-0.99%	-0.63%	-0.63%	-1.17%	-0.53%	-0.44%	-0.37%
Max Decline		-2.20%	-3.09%	-4.64%	-1.99%	-3.50%	-1.84%	-2.37%	-6.76%	-1.71%	-2.58%	-0.87%
Avg Days to Max Decline		5	15	10	10	10	6	6	11	9	6	4
2017 Contract Condition			Yes		Yes		Yes		Yes	Yes	Yes
Action			Yes		No		Yes		Yes	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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		35	38	39	40	41	41	41	41	41	41	41
Closed Lower		19	23	19	27	21	17	14	22	14	22	20
Penetrated Low		14	17	14	21	14	12	13	15	10	15	9
Scenario Percentage		74%	74%	74%	78%	67%	71%	93%	68%	71%	68%	45%
Avg Max Decline		2.48%	3.49%	3.05%	2.48%	2.36%	1.66%	1.88%	2.25%	3.13%	2.03%	1.42%
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		-0.68%	-0.40%	-0.32%	-0.52%	-0.48%	-0.43%	-0.43%	-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		9	7	9	5	9	7	4	9	7	7	3
2017 Contract Condition		Yes		Yes		Yes		Yes				Yes
Action		Yes		No		Yes		Yes				Not Yet
High	78.07	77.04	75.49	76.67	77.27	77.19	75.59	75.77	74.83	77.34	80.62	80.42
Low	75.59	74.71	73.88	73.83	74.57	75.34	74.12	73.18	72.67	73.96	76.93	78.29
Close/Last	76.45	74.71	74.74	74.60	77.01	75.43	75.44	73.32	74.19	77.24	80.36	80.04