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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, 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   30 33 35 39 39 39 39 39 39 39 39
Closed Higher   11 17 13 19 15 19 17 21 21 17 17
Exceeded High   7 12 9 14 13 13 15 16 18 13 7
Scenario Percentage   64% 71% 69% 74% 87% 68% 88% 76% 86% 76% 41%
Avg Max Increase   4.74% 6.25% 4.74% 3.93% 4.55% 4.34% 4.24% 5.87% 6.58% 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   16 16 19 13 15 15 18 17 17 12 9
Avg Max Decline   -1.42% -0.54% -1.16% -0.83% -1.30% -1.16% -1.69% -1.27% -0.59% -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   12 6 4 8 6 11 10 14 8 4 2
2015 Contract Condition   Yes     Yes   Yes   Yes Yes    
Action   No     No   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   30 33 35 39 39 39 39 39 39 39 39
Closed Lower   19 16 22 19 24 20 22 18 18 22 22
Penetrated Low   17 13 17 17 18 15 17 14 17 18 16
Scenario Percentage   89% 81% 77% 89% 75% 75% 77% 78% 94% 82% 73%
Avg Max Decline   4.02% 5.15% 3.69% 4.33% 4.29% 4.40% 3.48% 4.16% 4.20% 3.53% 1.60%
Max Decline   9.63% 11.00% 9.36% 13.47% 8.06% 15.07% 16.03% 8.34% 11.20% 8.39% 3.26%
Avg Days To Max Decline   21 12 15 17 18 18 16 18 19 10 7
Avg Max Increase   -1.18% -0.38% -0.93% -0.52% -0.88% -0.81% -1.28% -0.76% -1.21% -1.02% -0.09%
Max Increase   -3.84% -3.98% -3.03% -2.76% -1.92% -2.47% -3.61% -2.28% -4.28% -2.90% -0.82%
Avg Days to Max Increase   11 4 11 5 10 6 9 7 9 5 2
2015 Contract Condition     Yes Yes   Yes   Yes     Yes Yes
Action     Yes Yes   Yes   Yes     Yes Not Yet
High 86.43 86.53 85.98 84.70 84.55 84.34 82.19 83.20 86.04 84.46 84.75 83.19
Low 82.91 83.29 83.43 82.46 83.20 80.68 79.77 80.43 79.97 82.51 82.32 80.81
Close/Last 83.89 85.53 83.94 83.76 84.06 80.85 81.95 80.79 82.71 83.43 82.88 81.25

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