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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   33 33 33 33 33 34 34 34 34 34 34
Closed Higher   23 18 20 19 18 12 20 16 24 23 22
Exceeded High   18 17 19 13 17 9 17 13 19 23 13
Scenario Percentage   78% 94% 95% 68% 94% 75% 85% 81% 79% 100% 59%
Avg Max Increase   0.66% 0.68% 0.59% 0.40% 0.36% 0.60% 0.58% 0.47% 0.42% 0.40% 0.19%
Max Increase   1.59% 1.86% 1.45% 0.99% 1.50% 2.38% 2.39% 1.00% 1.69% 3.82% 0.66%
Avg Days To Max Increase   16 17 19 13 19 16 16 19 17 7 7
Avg Max Decline   -0.07% -0.13% -0.17% -0.10% -0.24% -0.12% -0.07% -0.06% -0.06% -0.05% -0.02%
Max Decline   -0.45% -0.41% -0.67% -0.33% -1.06% -0.34% -0.55% -0.28% -0.27% -0.17% -0.10%
Avg Days to Max Decline   6 10 6 6 11 7 6 4 9 3 1
2015 Contract Condition   Yes Yes   Yes   Yes Yes Yes Yes    
Action   No Yes   No   Yes Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   33 33 33 33 33 34 34 34 34 34 34
Closed Lower   8 15 12 14 15 21 13 18 8 9 11
Penetrated Low   7 9 8 11 13 12 13 12 2 7 2
Scenario Percentage   88% 60% 67% 79% 87% 57% 100% 67% 25% 78% 18%
Avg Max Decline   0.52% 0.36% 0.52% 0.55% 0.60% 0.72% 0.54% 0.29% 0.19% 0.18% 0.15%
Max Decline   1.27% 0.66% 1.38% 1.93% 1.71% 2.14% 1.82% 0.72% 0.21% 0.38% 0.19%
Avg Days To Max Decline   14 11 15 19 18 18 17 15 11 10 6
Avg Max Increase   -0.05% -0.11% -0.09% -0.14% -0.11% -0.11% -0.04% -0.13% -0.06% -0.12% -0.04%
Max Increase   -0.22% -0.27% -0.29% -0.39% -0.30% -0.31% -0.14% -0.64% -0.07% -0.48% -0.08%
Avg Days to Max Increase   3 4 9 6 6 7 5 7 13 5 4
2015 Contract Condition       Yes   Yes           Yes
Action       No   No           Not Yet
High 99.265 99.570 99.475 99.515 99.560 99.520 99.530 99.590 99.620 99.655 99.680 99.680
Low 99.145 99.185 99.345 99.290 99.320 99.350 99.365 99.510 99.545 99.535 99.595 99.580
Close/Last 99.180 99.405 99.470 99.350 99.505 99.445 99.520 99.565 99.600 99.635 99.635 99.630

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