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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Eurodollars(CME) as of Dec 31, 2017
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   34 35 35 35 35 35 35 35 35 35 35
Closed Higher   19 17 24 21 25 26 25 16 19 19 17
Exceeded High   17 16 19 19 24 25 17 13 17 13 10
Scenario Percentage   89% 94% 79% 90% 96% 96% 68% 81% 89% 68% 59%
Avg Max Increase   0.66% 0.61% 0.65% 0.67% 0.67% 0.50% 0.59% 0.77% 0.38% 0.22% 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   17 18 16 19 17 13 19 17 15 10 8
Avg Max Decline   -0.08% -0.15% -0.10% -0.09% -0.17% -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   8 6 9 9 9 5 7 6 8 5 2
2018 Contract Condition   Yes Yes   Yes Yes            
Action   Yes No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   34 35 35 35 35 35 35 35 35 35 35
Closed Lower   15 18 11 14 9 9 9 17 14 16 18
Penetrated Low   14 11 4 8 5 5 7 11 7 12 12
Scenario Percentage   93% 61% 36% 57% 56% 56% 78% 65% 50% 75% 67%
Avg Max Decline   0.69% 0.34% 0.28% 0.41% 0.63% 0.57% 0.41% 0.26% 0.38% 0.23% 0.13%
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   16 13 15 17 13 17 19 18 19 10 8
Avg Max Increase   -0.09% -0.19% -0.13% -0.16% -0.13% -0.10% -0.08% -0.05% -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 8 5 13 5 3 9 5 1
2018 Contract Condition       Yes     Yes Yes Yes Yes    
Action       Yes     Yes Yes Yes      
High 98.375 98.525 98.595 98.570 98.495 98.555 98.585 98.410 98.350 98.280    
Low 98.200 98.335 98.380 98.435 98.390 98.445 98.380 98.330 98.255 98.225    
Close/Last 98.345 98.430 98.535 98.440 98.470 98.540 98.410 98.350 98.255 98.230    

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