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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March US Dollar Index(ICE) as of Jan 01, 2014
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   24 24 25 27 27 27 27 27 28 28 28
Closed Higher   9 13 11 14 11 10 9 14 11 15 13
Exceeded High   8 11 10 9 5 10 6 9 10 11 10
Scenario Percentage   89% 85% 91% 64% 45% 100% 67% 64% 91% 73% 77%
Avg Max Increase   3.79% 2.20% 2.81% 2.93% 5.03% 4.17% 3.17% 3.28% 3.28% 2.86% 2.01%
Max Increase   7.91% 8.24% 6.47% 9.57% 13.34% 12.90% 5.20% 6.61% 8.96% 4.71% 4.33%
Avg Days To Max Increase   17 12 12 14 20 17 20 18 13 8 10
Avg Max Decline   -0.78% -0.87% -0.29% -0.46% -1.11% -0.54% -0.80% -1.11% -0.92% -1.41% -0.29%
Max Decline   -2.17% -2.49% -0.88% -1.29% -2.62% -2.25% -1.87% -2.70% -3.29% -3.03% -1.06%
Avg Days to Max Decline   8 7 7 4 9 5 10 15 6 7 2
2013 Contract Condition     Yes   Yes       Yes     Yes
Action     Yes   No       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   24 24 25 27 27 27 27 27 28 28 28
Closed Lower   15 11 14 13 16 17 18 13 17 13 14
Penetrated Low   10 8 13 12 14 15 13 10 12 10 8
Scenario Percentage   67% 73% 93% 92% 88% 88% 72% 77% 71% 77% 57%
Avg Max Decline   3.89% 3.90% 3.27% 2.75% 3.62% 3.77% 4.19% 4.67% 3.21% 3.29% 2.20%
Max Decline   7.95% 7.52% 7.14% 4.83% 8.06% 7.93% 9.26% 8.53% 8.15% 7.30% 5.03%
Avg Days To Max Decline   14 22 19 19 15 21 19 17 14 12 10
Avg Max Increase   -0.02% -0.75% -0.51% -1.29% -0.49% -0.91% -0.48% -0.81% -1.19% -1.04% -0.53%
Max Increase   -1.28% -2.15% -2.97% -3.45% -2.76% -3.21% -1.87% -2.09% -2.96% -2.54% -1.08%
Avg Days to Max Increase   2 7 7 13 5 10 6 4 5 7 3
2013 Contract Condition   Yes   Yes   Yes Yes Yes   Yes Yes  
Action   No   Yes   Yes No Yes   Yes Yes  
High 81.278 81.528 84.345 84.163 84.905 84.190 82.035 80.580 81.700 81.055 80.995 82.075
Low 80.415 79.987 80.135 82.245 82.552 81.920 78.945 79.200 80.130 79.015 79.160 78.915
Close/Last 80.418 80.082 84.345 82.453 83.420 81.920 80.225 80.198 80.362 79.870 79.225 82.002

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