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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Japanese Yen(CME) as of Jan 01, 2014
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   28 31 33 37 37 37 37 37 37 37 37
Closed Higher   9 16 13 17 14 17 17 20 20 17 17
Exceeded High   6 12 9 13 13 11 15 16 17 13 7
Scenario Percentage   67% 75% 69% 76% 93% 65% 88% 80% 85% 76% 41%
Avg Max Increase   5.29% 6.25% 4.74% 4.13% 4.55% 4.67% 4.24% 5.87% 6.88% 3.86% 3.23%
Max Increase   9.98% 19.83% 10.37% 9.71% 15.49% 10.93% 9.83% 22.99% 19.82% 11.98% 8.50%
Avg Days To Max Increase   18 16 19 12 15 15 18 17 18 12 9
Avg Max Decline   -1.65% -0.54% -1.16% -0.84% -1.30% -1.07% -1.69% -1.27% -0.60% -0.84% -0.39%
Max Decline   -5.83% -2.89% -3.18% -3.93% -3.98% -2.69% -3.94% -3.76% -3.05% -2.57% -1.02%
Avg Days to Max Decline   13 6 4 9 6 8 10 14 8 4 2
2013 Contract Condition             Yes Yes        
Action             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   28 31 33 37 37 37 37 37 37 37 37
Closed Lower   19 15 20 19 23 20 20 17 17 20 20
Penetrated Low   17 12 15 17 17 15 15 13 16 16 15
Scenario Percentage   89% 80% 75% 89% 74% 75% 75% 76% 94% 80% 75%
Avg Max Decline   4.02% 5.43% 3.87% 4.33% 4.46% 4.40% 3.45% 3.91% 3.97% 3.35% 1.56%
Max Decline   9.63% 11.00% 9.36% 13.47% 8.06% 15.07% 16.03% 8.34% 11.20% 8.75% 3.26%
Avg Days To Max Decline   21 12 15 17 19 18 15 17 19 10 7
Avg Max Increase   -1.18% -0.41% -0.99% -0.52% -0.92% -0.81% -1.35% -0.82% -1.02% -1.14% -0.05%
Max Increase   -3.84% -3.98% -3.03% -2.76% -1.92% -2.47% -3.61% -2.28% -2.67% -2.90% -0.82%
Avg Days to Max Increase   11 4 11 5 11 6 10 7 8 6 2
2013 Contract Condition   Yes Yes Yes Yes Yes     Yes Yes Yes Yes
Action   Yes Yes Yes Yes No     Yes Yes Yes Yes
High 122.72 115.83 110.00 108.20 108.00 102.97 106.70 102.53 104.42 102.62 103.57 102.46
Low 115.83 109.65 106.55 103.84 100.28 96.75 99.45 98.60 100.25 99.43 101.04 97.46
Close/Last 115.83 109.78 108.20 106.54 102.72 99.45 100.94 102.37 101.93 101.86 101.72 97.61

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