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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June US Dollar Index(ICE) 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   29 30 30 30 30 31 31 31 31 31 31
Closed Higher   15 13 12 11 17 12 18 13 16 9 20
Exceeded High   9 7 12 9 11 11 13 12 14 7 14
Scenario Percentage   60% 54% 100% 82% 65% 92% 72% 92% 88% 78% 70%
Avg Max Increase   3.39% 4.37% 3.83% 2.88% 3.40% 3.42% 3.25% 3.69% 3.69% 3.46% 1.27%
Max Increase   9.23% 13.23% 12.46% 5.33% 8.65% 8.79% 6.44% 11.75% 7.79% 8.31% 2.62%
Avg Days To Max Increase   15 19 16 19 17 15 17 16 20 12 7
Avg Max Decline   -0.33% -0.74% -0.71% -0.34% -1.09% -0.71% -1.45% -0.54% -1.22% -0.81% -0.61%
Max Decline   -1.21% -2.26% -2.60% -1.22% -2.70% -3.15% -2.98% -1.27% -3.17% -1.69% -2.01%
Avg Days to Max Decline   2 7 6 8 11 5 7 12 14 6 4
2016 Contract Condition   Yes   Yes Yes Yes   Yes       Yes
Action   Yes   Yes Yes Yes   No       Not Yet
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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   29 30 30 30 30 31 31 31 31 31 31
Closed Lower   14 17 18 19 13 19 13 18 15 22 11
Penetrated Low   13 13 17 13 10 15 11 13 15 17 6
Scenario Percentage   93% 76% 94% 68% 77% 79% 85% 72% 100% 77% 55%
Avg Max Decline   2.54% 3.66% 3.35% 4.11% 4.52% 2.80% 3.51% 3.73% 3.74% 2.32% 1.59%
Max Decline   4.87% 7.73% 7.97% 9.26% 8.25% 8.05% 7.19% 6.88% 7.73% 7.55% 2.93%
Avg Days To Max Decline   22 18 21 20 17 14 18 22 13 7 7
Avg Max Increase   -1.27% -0.54% -0.77% -0.26% -0.55% -0.99% -0.96% -1.20% -1.31% -0.64% -0.50%
Max Increase   -3.62% -2.94% -2.98% -1.64% -2.19% -2.86% -2.54% -5.46% -3.24% -3.41% -0.90%
Avg Days to Max Increase   15 6 10 6 4 7 6 12 8 4 2
2016 Contract Condition     Yes       Yes   Yes Yes Yes  
Action     No       Yes   Yes Yes Yes  
High 96.800 99.115 99.285 97.180 98.225 100.595 100.700 99.985 99.800 98.700 95.210 95.960
Low 95.150 97.188 93.500 94.570 94.317 97.205 97.335 98.240 95.405 94.295 92.975 91.880
Close/Last 96.655 98.345 96.608 96.840 97.385 100.450 98.840 99.737 98.335 94.578 93.055 95.877

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