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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, 2018
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   35 35 35 35 35 36 36 36 36 36 36
Closed Higher   23 18 20 20 18 13 21 17 25 24 23
Exceeded High   18 17 19 14 17 10 18 13 19 24 14
Scenario Percentage   78% 94% 95% 70% 94% 77% 86% 76% 76% 100% 61%
Avg Max Increase   0.66% 0.68% 0.59% 0.38% 0.36% 0.55% 0.55% 0.47% 0.42% 0.39% 0.17%
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   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   35 35 35 35 35 36 36 36 36 36 36
Closed Lower   10 17 14 14 17 22 14 19 9 10 12
Penetrated Low   9 11 8 11 15 12 14 12 3 8 2
Scenario Percentage   90% 65% 57% 79% 88% 55% 100% 63% 33% 80% 17%
Avg Max Decline   0.47% 0.32% 0.52% 0.55% 0.54% 0.72% 0.51% 0.29% 0.13% 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 17 18 18 15 9 12 9
Avg Max Increase   -0.06% -0.10% -0.09% -0.14% -0.09% -0.11% -0.04% -0.13% -0.04% -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   4 4 9 6 6 7 5 7 10 5 4
2017 Contract Condition   Yes Yes Yes   Yes Yes     Yes    
Action   Yes Yes No   Yes No     Yes    
High 99.015 98.980 99.050 98.770 98.680 98.695 98.605 98.665 98.720 98.700 98.685 98.680
Low 98.885 98.860 98.685 98.530 98.570 98.540 98.490 98.540 98.565 98.635 98.625 98.660
Close/Last 98.980 98.915 98.740 98.645 98.645 98.590 98.570 98.600 98.675 98.645 98.670 98.678

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