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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Eurodollars(CME) as of Jun 30, 2017
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   34 34 34 34 34 35 35 35 35 35 35
Closed Higher   23 18 20 20 18 13 20 16 25 23 22
Exceeded High   18 17 19 14 17 10 17 13 19 23 13
Scenario Percentage   78% 94% 95% 70% 94% 77% 85% 81% 76% 100% 59%
Avg Max Increase   0.66% 0.68% 0.59% 0.38% 0.36% 0.55% 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 15 16 19 17 8 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 9 6 4 9 4 1
2017 Contract Condition               Yes Yes      
Action               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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   34 34 34 34 34 35 35 35 35 35 35
Closed Lower   9 16 13 14 16 21 14 19 8 10 12
Penetrated Low   8 10 8 11 14 12 14 12 2 8 2
Scenario Percentage   89% 63% 62% 79% 88% 57% 100% 63% 25% 80% 17%
Avg Max Decline   0.48% 0.33% 0.52% 0.55% 0.57% 0.72% 0.51% 0.29% 0.19% 0.17% 0.33%
Max Decline   1.27% 0.66% 1.38% 1.93% 1.71% 2.14% 1.82% 0.72% 0.21% 0.38% 0.56%
Avg Days To Max Decline   16 13 15 19 18 18 18 15 11 12 9
Avg Max Increase   -0.05% -0.10% -0.09% -0.14% -0.10% -0.11% -0.04% -0.13% -0.06% -0.10% -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
2017 Contract Condition   Yes Yes Yes   Yes Yes     Yes    
Action   Yes Yes No   Yes No     Not Yet    
High 99.015 98.980 99.050 98.770 98.680 98.695 98.605 98.665 98.720 98.700    
Low 98.885 98.860 98.685 98.530 98.570 98.540 98.490 98.540 98.565 98.635    
Close/Last 98.980 98.915 98.740 98.645 98.645 98.590 98.570 98.600 98.675 98.645    

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