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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   35 35 35 35 35 35 35 35 36 36 36
Closed Higher   22 24 27 23 18 19 20 16 15 21 17
Exceeded High   21 23 25 17 16 18 14 14 11 17 9
Scenario Percentage   95% 96% 93% 74% 89% 95% 70% 88% 73% 81% 53%
Avg Max Increase   0.68% 0.73% 0.61% 0.65% 0.72% 0.49% 0.32% 0.30% 0.51% 0.37% 0.19%
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 9
Avg Max Decline   -0.11% -0.20% -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 10 6 4 8 7 7 7 6 2 1
2018 Contract Condition   Yes Yes                  
Action   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   35 35 35 35 35 35 35 35 36 36 36
Closed Lower   13 11 8 11 16 16 14 19 20 14 18
Penetrated Low   8 6 5 9 8 9 11 17 12 9 10
Scenario Percentage   62% 55% 63% 82% 50% 56% 79% 89% 60% 64% 56%
Avg Max Decline   0.43% 0.52% 0.63% 0.44% 0.33% 0.46% 0.45% 0.43% 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 16 17 18 17 18 16 12 8
Avg Max Increase   -0.15% -0.08% -0.11% -0.06% -0.08% -0.09% -0.10% -0.11% -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   8 2 15 4 3 13 5 6 7 4 3
2018 Contract Condition       Yes Yes Yes Yes          
Action       Yes Yes Yes            
High 98.500 98.430 98.520 98.550 98.305 98.240 98.140          
Low 98.355 98.305 98.375 98.275 98.210 98.100 98.050          
Close/Last 98.365 98.410 98.495 98.300 98.235 98.105 98.080          

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