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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Eurodollars(CME) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   34 34 35 35 35 35 35 35 35 35 35
Closed Higher   22 20 13 21 17 24 22 26 25 25 16
Exceeded High   15 19 10 17 16 19 22 25 23 15 8
Scenario Percentage   68% 95% 77% 81% 94% 79% 100% 96% 92% 60% 50%
Avg Max Increase   0.42% 0.36% 0.54% 0.64% 0.53% 0.62% 0.54% 0.65% 0.43% 0.34% 0.27%
Max Increase   1.06% 1.55% 2.37% 2.50% 1.43% 2.29% 2.72% 4.42% 2.88% 1.56% 0.74%
Avg Days To Max Increase   13 18 17 15 18 17 17 17 14 12 10
Avg Max Decline   -0.14% -0.26% -0.14% -0.08% -0.13% -0.08% -0.09% -0.15% -0.10% -0.10% -0.02%
Max Decline   -0.39% -0.96% -0.40% -0.47% -0.60% -0.39% -0.34% -0.81% -0.45% -0.60% -0.11%
Avg Days to Max Decline   7 13 7 6 4 8 8 7 7 9 2
2016 Contract Condition   Yes   Yes     Yes     Yes    
Action   Yes   Yes     No     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   34 34 35 35 35 35 35 35 35 35 35
Closed Lower   11 14 22 13 18 11 11 9 10 9 17
Penetrated Low   8 12 13 12 11 5 8 4 6 6 11
Scenario Percentage   73% 86% 59% 92% 61% 45% 73% 44% 60% 67% 65%
Avg Max Decline   0.43% 0.67% 0.78% 0.66% 0.34% 0.23% 0.25% 0.68% 0.44% 0.25% 0.22%
Max Decline   0.77% 1.89% 2.63% 2.22% 0.90% 0.41% 0.63% 2.09% 1.37% 0.68% 0.76%
Avg Days To Max Decline   18 18 18 17 16 11 16 21 20 12 10
Avg Max Increase   -0.15% -0.12% -0.13% -0.07% -0.18% -0.10% -0.12% -0.16% -0.10% -0.06% -0.01%
Max Increase   -0.41% -0.33% -0.41% -0.20% -0.66% -0.21% -0.44% -0.39% -0.25% -0.17% -0.03%
Avg Days to Max Increase   7 7 6 4 6 15 7 7 16 4 2
2016 Contract Condition     Yes   Yes Yes   Yes Yes   Yes Yes
Action     Yes   Yes No   Yes Yes   Yes Yes
High 98.945 99.200 99.375 99.190 99.210 99.225 99.380 99.340 99.180 99.115 99.090 99.150
Low 98.735 98.750 99.130 98.955 99.050 99.010 99.025 99.075 99.020 99.015 99.025 98.995
Close/Last 98.770 99.185 99.165 99.175 99.135 99.060 99.325 99.165 99.050 99.080 99.055 99.010

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