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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Eurodollars(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   30 31 31 31 31 31 31 31 31 31 31
Closed Higher   16 15 22 19 22 22 23 14 19 16 15
Exceeded High   15 14 18 17 21 21 16 12 17 12 10
Scenario Percentage   94% 93% 82% 89% 95% 95% 70% 86% 89% 75% 67%
Avg Max Increase   0.73% 0.68% 0.68% 0.74% 0.75% 0.58% 0.62% 0.84% 0.38% 0.23% 0.15%
Max Increase   2.51% 1.65% 2.42% 2.18% 4.13% 3.01% 1.74% 1.83% 1.05% 0.79% 0.58%
Avg Days To Max Increase   16 19 15 18 16 13 19 19 15 10 8
Avg Max Decline   -0.08% -0.16% -0.10% -0.09% -0.19% -0.13% -0.07% -0.15% -0.13% -0.05% -0.03%
Max Decline   -0.24% -0.75% -0.51% -0.29% -0.96% -0.54% -0.23% -0.54% -0.83% -0.16% -0.13%
Avg Days to Max Decline   7 6 8 9 9 5 8 7 8 5 2
2013 Contract Condition   Yes   Yes Yes Yes Yes Yes   Yes   Yes
Action   Yes   Yes Yes Yes Yes Yes   No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   30 31 31 31 31 31 31 31 31 31 31
Closed Lower   14 16 9 12 8 9 7 15 11 15 16
Penetrated Low   13 10 3 7 4 5 5 9 7 11 11
Scenario Percentage   93% 63% 33% 58% 50% 56% 71% 60% 64% 73% 69%
Avg Max Decline   0.73% 0.36% 0.34% 0.44% 0.77% 0.57% 0.51% 0.29% 0.38% 0.24% 0.14%
Max Decline   2.28% 0.94% 0.54% 1.20% 1.94% 1.18% 1.12% 0.73% 1.10% 0.93% 0.28%
Avg Days To Max Decline   15 12 10 17 14 17 18 16 19 10 9
Avg Max Increase   -0.09% -0.20% -0.16% -0.18% -0.14% -0.10% -0.10% -0.06% -0.06% -0.07% -0.03%
Max Increase   -0.43% -0.64% -0.19% -0.50% -0.37% -0.17% -0.18% -0.14% -0.24% -0.23% -0.10%
Avg Days to Max Increase   5 5 11 9 6 13 4 3 9 5 2
2013 Contract Condition     Yes               Yes  
Action     No               Not Yet  
High 99.490 99.475 99.485 99.510 99.640 99.655 99.690 99.720 99.700 99.725 99.715 99.713
Low 99.325 99.370 99.280 99.325 99.455 99.555 99.600 99.650 99.650 99.670 99.680 99.690
Close/Last 99.450 99.470 99.370 99.475 99.625 99.645 99.675 99.680 99.680 99.700 99.695 99.705

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