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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 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   31 34 36 40 40 40 40 40 40 40 40
Closed Higher   11 18 14 20 15 20 18 21 22 17 17
Exceeded High   7 13 10 15 13 13 16 16 18 13 7
Scenario Percentage   64% 72% 71% 75% 87% 65% 89% 76% 82% 76% 41%
Avg Max Increase   4.74% 6.29% 4.91% 4.16% 4.55% 4.34% 4.13% 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 17 18 14 15 15 18 17 17 12 9
Avg Max Decline   -1.42% -0.54% -0.98% -1.05% -1.30% -1.16% -1.64% -1.27% -0.59% -0.84% -0.39%
Max Decline   -5.83% -2.89% -3.18% -4.12% -3.98% -2.69% -3.94% -3.76% -3.05% -2.57% -1.02%
Avg Days to Max Decline   12 7 6 10 6 11 10 14 8 4 2
2017 Contract Condition   Yes Yes Yes   Yes   Yes Yes      
Action   Yes Yes Yes   Yes   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   31 34 36 40 40 40 40 40 40 40 40
Closed Lower   20 16 22 19 25 20 22 19 18 23 23
Penetrated Low   17 13 17 17 18 15 17 15 17 19 17
Scenario Percentage   85% 81% 77% 89% 72% 75% 77% 79% 94% 83% 74%
Avg Max Decline   4.02% 5.15% 3.69% 4.33% 4.29% 4.40% 3.48% 4.04% 4.20% 4.01% 1.78%
Max Decline   9.63% 11.00% 9.36% 13.47% 8.06% 15.07% 16.03% 8.34% 11.20% 11.71% 3.72%
Avg Days To Max Decline   21 12 15 17 18 18 16 18 19 11 8
Avg Max Increase   -1.18% -0.38% -0.93% -0.52% -0.88% -0.81% -1.28% -0.92% -1.21% -1.16% -0.15%
Max Increase   -3.84% -3.98% -3.03% -2.76% -1.92% -2.47% -3.61% -3.23% -4.28% -3.68% -1.14%
Avg Days to Max Increase   11 4 11 5 10 6 9 8 9 6 2
2017 Contract Condition         Yes   Yes     Yes Yes  
Action         Yes   Yes     Not Yet    
High 89.90 90.55 90.85 91.86 93.43 91.51 92.59 91.32 92.86 93.60 89.18  
Low 86.08 85.95 88.41 87.91 90.52 88.35 89.23 88.00 90.62 88.63 88.76  
Close/Last 87.32 90.18 90.44 90.95 90.76 91.31 89.49 91.31 91.39 89.20 89.08  

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