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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September US Dollar Index(ICE) as of Jun 30, 2017
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   29 29 31 31 31 31 31 31 31 31 31
Closed Higher   12 17 13 18 13 16 9 20 13 16 14
Exceeded High   10 10 11 13 12 14 8 18 12 11 8
Scenario Percentage   83% 59% 85% 72% 92% 88% 89% 90% 92% 69% 57%
Avg Max Increase   2.77% 3.71% 3.55% 3.09% 3.56% 3.63% 3.99% 2.40% 2.80% 2.96% 2.52%
Max Increase   5.41% 8.94% 8.79% 6.46% 11.65% 7.77% 8.45% 8.42% 6.58% 9.50% 5.01%
Avg Days To Max Increase   20 19 15 19 18 20 19 13 12 12 11
Avg Max Decline   -0.28% -0.83% -0.73% -1.32% -0.35% -1.11% -0.80% -1.55% -0.54% -0.60% -0.47%
Max Decline   -1.29% -2.09% -3.13% -2.62% -1.12% -3.11% -1.58% -4.18% -1.20% -1.51% -1.50%
Avg Days to Max Decline   7 13 5 7 13 14 7 10 6 4 4
2017 Contract Condition   Yes Yes Yes   Yes            
Action   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   29 29 31 31 31 31 31 31 31 31 31
Closed Lower   17 12 18 13 18 15 22 11 18 15 17
Penetrated Low   11 9 14 11 13 14 16 9 16 14 14
Scenario Percentage   65% 75% 78% 85% 72% 93% 73% 82% 89% 93% 82%
Avg Max Decline   3.90% 4.09% 2.71% 3.40% 3.64% 3.90% 3.14% 3.75% 3.25% 2.23% 2.35%
Max Decline   9.09% 7.55% 7.67% 6.83% 6.82% 7.71% 8.54% 8.15% 7.14% 5.15% 4.13%
Avg Days To Max Decline   21 17 15 17 21 14 12 19 16 10 10
Avg Max Increase   -0.21% -0.59% -0.94% -0.72% -1.09% -1.02% -0.80% -0.92% -0.98% -1.11% -0.40%
Max Increase   -1.30% -1.90% -2.49% -2.47% -5.25% -3.06% -3.44% -2.64% -3.40% -3.11% -2.29%
Avg Days to Max Increase   5 4 9 6 11 7 6 5 8 6 2
2017 Contract Condition         Yes   Yes Yes Yes Yes    
Action         Yes   Yes Yes Yes Not Yet    
High 96.075 98.775 101.800 103.530 103.600 101.520 102.005 101.090 99.565 97.515    
Low 94.970 95.358 95.800 99.370 99.280 99.000 98.515 98.410 96.500 95.225    
Close/Last 95.155 98.148 101.325 102.155 99.280 100.910 100.058 98.743 96.650 95.420    

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