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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   33 33 33 33 33 33 33 33 34 34 34
Closed Higher   21 23 25 23 18 19 19 16 14 19 16
Exceeded High   20 22 23 17 16 18 13 14 10 15 9
Scenario Percentage   95% 96% 92% 74% 89% 95% 68% 88% 71% 79% 56%
Avg Max Increase   0.70% 0.75% 0.66% 0.65% 0.72% 0.49% 0.33% 0.30% 0.56% 0.41% 0.18%
Max Increase   2.01% 3.61% 2.75% 1.62% 1.91% 1.11% 0.85% 1.41% 2.24% 1.69% 0.40%
Avg Days To Max Increase   17 17 15 18 16 17 14 17 18 13 8
Avg Max Decline   -0.11% -0.21% -0.11% -0.06% -0.11% -0.18% -0.09% -0.10% -0.09% -0.07% -0.02%
Max Decline   -0.40% -1.49% -0.55% -0.27% -0.47% -0.76% -0.27% -0.43% -0.30% -0.64% -0.15%
Avg Days to Max Decline   10 9 6 4 8 7 8 7 4 2 1
2015 Contract Condition     Yes   Yes Yes   Yes   Yes Yes Yes
Action     Yes   No Yes   No   Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   33 33 33 33 33 33 33 33 34 34 34
Closed Lower   12 10 8 9 14 14 13 17 19 14 17
Penetrated Low   7 5 5 7 6 8 10 15 12 9 10
Scenario Percentage   58% 50% 63% 78% 43% 57% 77% 88% 63% 64% 59%
Avg Max Decline   0.46% 0.61% 0.63% 0.50% 0.40% 0.50% 0.48% 0.47% 0.46% 0.35% 0.12%
Max Decline   1.21% 1.83% 1.05% 1.31% 0.76% 1.39% 1.85% 1.26% 1.27% 1.07% 0.35%
Avg Days To Max Decline   17 10 20 15 16 17 17 19 16 12 8
Avg Max Increase   -0.17% -0.07% -0.11% -0.06% -0.10% -0.10% -0.11% -0.13% -0.08% -0.04% -0.05%
Max Increase   -0.51% -0.13% -0.23% -0.20% -0.19% -0.30% -0.29% -0.80% -0.26% -0.11% -0.29%
Avg Days to Max Increase   9 2 15 4 3 10 5 7 7 4 3
2015 Contract Condition   Yes   Yes     Yes   Yes      
Action   No   No     No   No      
High 99.540 99.500 99.525 99.480 99.680 99.645 99.665 99.675 99.645 99.675 99.700 99.720
Low 99.375 99.335 99.375 99.390 99.450 99.570 99.520 99.540 99.555 99.580 99.665 99.685
Close/Last 99.485 99.385 99.460 99.445 99.610 99.640 99.565 99.640 99.625 99.670 99.690 99.707

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