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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Japanese Yen(CME) as of Dec 31, 2017
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   29 32 34 40 40 41 41 41 41 41 41
Closed Higher   15 12 17 18 22 23 17 17 20 17 23
Exceeded High   10 10 11 16 17 18 14 13 15 12 13
Scenario Percentage   67% 83% 65% 89% 77% 78% 82% 76% 75% 71% 57%
Avg Max Increase   3.57% 3.19% 4.11% 4.04% 5.93% 6.58% 4.60% 4.87% 4.07% 4.17% 3.21%
Max Increase   7.46% 6.77% 5.90% 9.66% 22.51% 19.42% 13.74% 9.66% 12.81% 10.77% 9.86%
Avg Days To Max Increase   17 18 17 18 19 18 18 20 14 10 9
Avg Max Decline   -0.89% -1.44% -1.35% -1.45% -0.95% -0.64% -1.57% -1.01% -1.04% -0.72% -0.42%
Max Decline   -3.95% -3.16% -3.72% -3.75% -3.68% -2.92% -6.60% -3.45% -4.19% -2.12% -1.88%
Avg Days to Max Decline   14 8 11 10 13 9 9 7 11 4 2
2018 Contract Condition     Yes   Yes Yes     Yes      
Action     Yes   Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   29 32 34 40 40 41 41 41 41 41 41
Closed Lower   14 20 17 22 18 18 24 24 21 24 18
Penetrated Low   10 14 12 16 15 17 21 22 19 20 14
Scenario Percentage   71% 70% 71% 73% 83% 94% 88% 92% 90% 83% 78%
Avg Max Decline   5.82% 4.12% 3.91% 3.65% 4.00% 4.22% 4.62% 3.81% 3.80% 3.24% 2.97%
Max Decline   13.48% 8.05% 14.90% 16.01% 7.87% 11.04% 11.69% 10.31% 9.71% 6.39% 4.89%
Avg Days To Max Decline   20 16 16 16 18 19 19 12 13 12 11
Avg Max Increase   -0.34% -0.68% -0.59% -1.05% -0.84% -1.14% -1.47% -0.96% -0.56% -1.21% -0.19%
Max Increase   -1.54% -1.72% -1.98% -3.44% -3.19% -3.93% -6.01% -3.08% -2.09% -4.28% -1.54%
Avg Days to Max Increase   5 9 6 8 8 11 7 8 3 7 2
2018 Contract Condition   Yes   Yes     Yes Yes   Yes    
Action   Yes   Yes     Yes Yes        
High 92.31 93.83 91.90 92.93 91.77 93.30 94.01 90.26 90.73 90.23    
Low 88.44 91.03 88.81 89.74 88.51 91.17 89.12 88.08 87.83 88.41    
Close/Last 91.43 91.24 91.77 89.93 91.77 91.87 89.67 88.60 89.38 89.33    

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