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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March EuroFX(CME) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   15 15 15 15 15 15 15 16 16 16 16
Closed Higher   7 6 8 7 8 9 9 8 10 6 10
Exceeded High   5 5 5 7 6 8 8 7 7 5 7
Scenario Percentage   71% 83% 63% 100% 75% 89% 89% 88% 70% 83% 70%
Avg Max Increase   4.33% 3.30% 3.50% 3.55% 3.47% 3.81% 3.95% 5.18% 3.23% 3.38% 2.10%
Max Increase   10.46% 8.80% 8.32% 6.26% 5.57% 7.34% 7.01% 9.97% 4.28% 7.05% 4.60%
Avg Days To Max Increase   16 11 19 18 15 21 17 15 9 12 12
Avg Max Decline   -0.53% -0.57% -1.23% -1.20% -0.58% -1.19% -0.97% -0.56% -1.67% -1.30% -0.72%
Max Decline   -2.52% -1.72% -1.96% -3.07% -2.62% -2.19% -2.30% -1.16% -3.70% -2.93% -1.23%
Avg Days to Max Decline   7 4 5 17 3 13 8 3 6 9 3
2014 Contract Condition   Yes   Yes Yes   Yes Yes   Yes   Yes
Action   Yes   Yes Yes   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   15 15 15 15 15 15 15 16 16 16 16
Closed Lower   8 9 7 8 7 6 6 8 6 10 6
Penetrated Low   6 9 5 6 5 6 4 5 5 9 5
Scenario Percentage   75% 100% 71% 75% 71% 100% 67% 63% 83% 90% 83%
Avg Max Decline   5.09% 2.30% 2.76% 5.29% 5.44% 5.02% 3.20% 3.64% 4.05% 2.58% 1.98%
Max Decline   10.39% 3.49% 5.73% 10.70% 14.97% 12.74% 5.36% 6.10% 6.22% 5.23% 3.39%
Avg Days To Max Decline   11 11 13 13 15 18 12 22 14 5 8
Avg Max Increase   -0.78% -1.50% -0.25% -0.93% -0.77% -0.65% -0.66% -2.32% -1.61% -1.54% -0.41%
Max Increase   -2.10% -3.17% -2.07% -2.18% -1.99% -1.60% -1.26% -3.76% -2.80% -3.79% -1.59%
Avg Days to Max Increase   9 9 6 12 6 3 1 25 5 6 3
2014 Contract Condition     Yes     Yes     Yes   Yes  
Action     Yes     Yes     No   Yes  
High 131.46 132.27 132.48 134.25 133.60 134.30 135.76 138.34 136.23 138.93 137.40 138.26
Low 128.18 128.45 128.63 130.12 127.81 132.02 131.23 134.79 133.00 135.26 134.79 134.76
Close/Last 128.58 131.96 130.12 130.36 133.51 132.17 135.31 135.94 135.88 137.88 134.84 138.22

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