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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 Sep 29, 2023
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   36 36 36 37 37 37 37 37 37 37 37
Closed Higher   21 17 19 13 22 16 18 18 18 14 21
Exceeded High   16 15 15 11 20 15 12 13 16 12 11
Scenario Percentage   76% 88% 79% 85% 91% 94% 67% 72% 89% 86% 52%
Avg Max Increase   3.41% 2.62% 3.60% 3.46% 2.17% 2.76% 3.74% 4.18% 3.61% 2.61% 1.13%
Max Increase   7.96% 6.66% 7.42% 8.00% 8.36% 6.64% 9.61% 13.53% 12.46% 5.22% 2.91%
Avg Days To Max Increase   19 19 19 19 14 16 17 18 16 11 8
Avg Max Decline   -1.25% -0.57% -0.77% -0.67% -1.40% -0.41% -0.60% -0.88% -0.80% -0.90% -0.80%
Max Decline   -2.60% -2.79% -2.76% -1.59% -3.72% -0.93% -1.43% -2.47% -2.75% -2.56% -2.61%
Avg Days to Max Decline   10 11 13 9 11 10 4 8 7 4 2
2023 Contract Condition     Yes     Yes     Yes Yes    
Action     Yes     No     Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   36 36 36 37 37 37 37 37 37 37 37
Closed Lower   15 19 17 24 15 21 19 19 19 23 16
Penetrated Low   12 14 15 17 12 18 16 17 16 16 12
Scenario Percentage   80% 74% 88% 71% 80% 86% 84% 89% 84% 70% 75%
Avg Max Decline   2.98% 3.16% 3.67% 3.14% 3.62% 3.36% 2.65% 3.59% 3.84% 3.51% 1.69%
Max Decline   6.90% 6.29% 7.76% 8.27% 7.61% 7.14% 5.00% 9.15% 7.85% 7.20% 3.00%
Avg Days To Max Decline   18 24 17 15 20 19 17 15 20 12 10
Avg Max Increase   -1.01% -1.55% -0.91% -0.52% -0.65% -0.72% -1.33% -0.60% -1.00% -0.66% -0.39%
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 5 8 14 5 10 6 2
2023 Contract Condition   Yes   Yes Yes   Yes Yes        
Action   Yes   Yes No   Yes No        
High 103.247 103.982 104.460 104.838 101.820 103.740 103.500 102.710 104.040 106.540    
Low 102.410 100.625 100.353 101.410 100.275 100.295 101.345 98.935 101.225 102.870    
Close/Last 102.410 101.180 104.240 101.775 100.885 103.485 102.262 101.285 103.228 105.815    

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