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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, 2016
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   32 33 33 33 33 33 33 33 33 33 33
Closed Higher   18 16 22 20 24 24 25 16 19 18 17
Exceeded High   16 15 18 18 23 23 17 13 17 13 10
Scenario Percentage   89% 94% 82% 90% 96% 96% 68% 81% 89% 72% 59%
Avg Max Increase   0.69% 0.64% 0.68% 0.70% 0.70% 0.54% 0.59% 0.77% 0.38% 0.20% 0.14%
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 18 15 18 17 13 19 17 15 10 8
Avg Max Decline   -0.08% -0.15% -0.10% -0.09% -0.18% -0.12% -0.07% -0.14% -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 10 9 5 7 6 8 5 2
2015 Contract Condition   Yes Yes     Yes Yes Yes Yes   Yes Yes
Action   Yes Yes     Yes Yes No Yes   Not Yet 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   32 33 33 33 33 33 33 33 33 33 33
Closed Lower   14 17 11 13 8 9 7 15 13 15 16
Penetrated Low   13 11 4 7 4 5 5 9 7 11 11
Scenario Percentage   93% 65% 36% 54% 50% 56% 71% 60% 54% 73% 69%
Avg Max Decline   0.73% 0.34% 0.28% 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 13 15 17 14 17 18 16 19 10 9
Avg Max Increase   -0.09% -0.19% -0.13% -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 6 11 9 6 13 4 3 9 5 2
2015 Contract Condition       Yes Yes         Yes    
Action       Yes No         No    
High 99.615 99.650 99.680 99.685 99.670 99.685 99.675 99.755 99.745 99.750 99.745 99.737
Low 99.495 99.520 99.590 99.570 99.555 99.585 99.610 99.665 99.720 99.700 99.705 99.715
Close/Last 99.560 99.630 99.665 99.645 99.595 99.645 99.665 99.740 99.745 99.715 99.730 99.735

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