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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 Dec 07, 2022
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 35 37 37 37 37 37 37 37 37 37
Closed Higher   16 21 14 21 19 20 12 22 16 18 18
Exceeded High   13 13 12 16 18 16 11 20 15 13 10
Scenario Percentage   81% 62% 86% 76% 95% 80% 92% 91% 94% 72% 56%
Avg Max Increase   2.62% 3.15% 3.38% 3.39% 3.61% 3.69% 3.66% 2.33% 2.83% 2.97% 2.28%
Max Increase   5.48% 8.94% 8.79% 7.77% 11.65% 7.77% 8.45% 8.42% 6.58% 9.50% 5.01%
Avg Days To Max Increase   18 18 14 19 19 20 20 14 14 11 10
Avg Max Decline   -0.50% -0.96% -0.64% -1.34% -0.48% -1.00% -0.75% -1.53% -0.54% -0.70% -0.39%
Max Decline   -2.39% -2.09% -3.13% -2.62% -2.93% -3.11% -1.59% -4.18% -1.20% -1.51% -1.50%
Avg Days to Max Decline   7 15 5 10 12 13 9 11 10 4 3
2022 Contract Condition     Yes   Yes Yes Yes Yes   Yes Yes Yes
Action     Yes   Yes Yes Yes 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 35 37 37 37 37 37 37 37 37 37
Closed Lower   19 14 23 16 18 17 25 15 21 19 19
Penetrated Low   12 11 18 13 13 15 19 11 18 16 16
Scenario Percentage   63% 79% 78% 81% 72% 88% 76% 73% 86% 84% 84%
Avg Max Decline   3.64% 4.05% 2.49% 3.01% 3.64% 3.88% 3.11% 3.98% 3.42% 2.18% 2.20%
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 14 17 21 14 14 21 18 9 9
Avg Max Increase   -0.29% -0.54% -0.83% -0.94% -1.09% -1.02% -0.81% -0.83% -0.94% -1.11% -0.39%
Max Increase   -1.30% -1.90% -2.49% -2.74% -5.25% -3.06% -3.44% -2.64% -3.40% -3.11% -2.29%
Avg Days to Max Increase   6 4 8 8 11 7 6 6 7 6 2
2022 Contract Condition   Yes   Yes         Yes      
Action   No   Yes         No      
High 94.263 94.460 96.900 96.502 97.020 97.085 99.245 103.640 104.800 105.565 109.140 109.445
Low 92.355 93.260 93.802 95.438 94.500 94.940 97.040 98.135 101.075 101.445 104.515 104.515
Close/Last 94.165 94.025 95.888 95.438 96.293 96.415 98.115 102.708 101.565 104.465 105.780 108.665

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