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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December US Dollar Index(ICE) 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   31 31 31 32 32 32 32 32 32 32 32
Closed Higher   18 13 15 9 20 13 16 14 13 12 18
Exceeded High   13 11 13 8 18 12 10 9 13 10 10
Scenario Percentage   72% 85% 87% 89% 90% 92% 63% 64% 100% 83% 56%
Avg Max Increase   3.14% 2.35% 3.55% 3.75% 2.23% 2.70% 3.47% 4.79% 3.97% 3.02% 1.19%
Max Increase   6.39% 5.08% 7.42% 8.00% 8.36% 6.64% 9.61% 13.53% 12.46% 5.22% 2.91%
Avg Days To Max Increase   19 17 19 18 13 14 15 18 18 11 7
Avg Max Decline   -1.22% -0.31% -0.85% -0.73% -1.41% -0.38% -0.47% -0.85% -0.86% -0.85% -0.79%
Max Decline   -2.60% -1.06% -2.76% -1.59% -3.72% -0.91% -1.43% -2.47% -2.75% -2.56% -2.61%
Avg Days to Max Decline   7 10 14 8 10 6 4 7 6 4 2
2017 Contract Condition     Yes             Yes Yes  
Action     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   31 31 31 32 32 32 32 32 32 32 32
Closed Lower   13 18 16 23 12 19 16 18 19 20 14
Penetrated Low   11 14 15 16 11 17 15 16 16 14 10
Scenario Percentage   85% 78% 94% 70% 92% 89% 94% 89% 84% 70% 71%
Avg Max Decline   3.17% 3.16% 3.67% 3.23% 3.41% 3.24% 2.72% 3.79% 3.84% 3.47% 1.64%
Max Decline   6.90% 6.29% 7.76% 8.27% 7.61% 7.14% 5.00% 9.15% 7.85% 6.04% 3.00%
Avg Days To Max Decline   18 24 17 14 19 19 18 16 20 12 10
Avg Max Increase   -0.97% -1.55% -0.91% -0.55% -0.74% -0.75% -1.37% -0.62% -1.00% -0.55% -0.46%
Max Increase   -2.87% -6.12% -2.95% -3.27% -2.66% -3.08% -3.33% -2.41% -3.06% -1.55% -1.85%
Avg Days to Max Increase   9 12 8 6 6 8 14 5 10 5 2
2017 Contract Condition   Yes   Yes Yes Yes Yes Yes Yes     Yes
Action   Yes   Yes Yes Yes Yes Yes Yes     Not Yet
High 103.063 103.275 101.345 101.940 100.950 99.185 97.300 96.065 93.840 93.495 95.060 95.070
Low 101.880 99.095 98.840 98.385 98.255 96.390 95.040 92.480 91.350 90.795 92.590 92.430
Close/Last 102.035 99.095 100.730 99.892 98.567 96.450 95.220 92.538 92.392 92.883 94.430 93.002

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