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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Eurodollars(CME) as of Sep 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 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
2017 Contract Condition   Yes   Yes Yes Yes   Yes Yes      
Action   Yes   Yes 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 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
2017 Contract Condition     Yes       Yes     Yes Yes  
Action     Yes       Yes     Not Yet    
High 98.650 98.535 98.555 98.480 98.595 98.655 98.630 98.580 98.600 98.635 98.520  
Low 98.360 98.410 98.385 98.335 98.445 98.480 98.520 98.495 98.530 98.490 98.500  
Close/Last 98.480 98.500 98.440 98.450 98.515 98.605 98.525 98.550 98.585 98.520 98.510  

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