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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Swiss Franc(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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   31 35 37 40 40 40 40 40 40 40 40
Closed Higher   11 15 18 18 20 27 22 18 22 14 21
Exceeded High   10 10 14 16 18 24 14 14 17 11 10
Scenario Percentage   91% 67% 78% 89% 90% 89% 64% 78% 77% 79% 48%
Avg Max Increase   3.29% 5.74% 6.81% 6.17% 5.73% 4.21% 5.11% 5.53% 3.92% 5.30% 2.85%
Max Increase   8.78% 11.71% 18.21% 18.60% 12.10% 11.46% 12.15% 10.90% 10.55% 13.30% 9.13%
Avg Days To Max Increase   16 19 19 21 17 18 20 17 15 14 10
Avg Max Decline   -1.54% -0.54% -0.85% -1.69% -1.13% -1.35% -0.81% -1.23% -1.81% -1.01% -0.84%
Max Decline   -5.72% -2.32% -2.99% -7.22% -5.77% -4.34% -1.92% -4.09% -4.56% -2.70% -2.07%
Avg Days to Max Decline   9 5 6 14 7 9 4 7 8 8 3
2015 Contract Condition   Yes   Yes             Yes  
Action   Yes   No             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   31 35 37 40 40 40 40 40 40 40 40
Closed Lower   19 20 19 22 20 13 18 22 18 26 19
Penetrated Low   15 14 16 18 13 11 15 17 17 21 14
Scenario Percentage   79% 70% 84% 82% 65% 85% 83% 77% 94% 81% 74%
Avg Max Decline   4.62% 3.86% 3.95% 3.22% 4.62% 3.88% 3.68% 4.45% 5.80% 3.81% 2.67%
Max Decline   9.60% 9.91% 7.87% 8.04% 13.62% 9.10% 6.74% 11.72% 12.52% 8.95% 5.78%
Avg Days To Max Decline   17 17 15 16 15 15 16 17 16 9 9
Avg Max Increase   -0.66% -1.31% -0.18% -1.28% -1.12% -2.10% -0.82% -1.27% -1.14% -1.19% -0.66%
Max Increase   -2.32% -3.86% -2.84% -4.67% -3.30% -5.54% -3.16% -5.35% -4.51% -3.76% -2.34%
Avg Days to Max Increase   7 14 8 10 5 11 7 10 6 6 3
2015 Contract Condition     Yes   Yes Yes Yes Yes Yes Yes   Yes
Action     Yes   Yes Yes Yes Yes Yes Yes   Yes
High 115.05 114.63 114.81 113.09 113.09 111.00 109.19 106.36 105.02 104.78 122.82 109.18
Low 113.12 112.51 111.72 111.37 110.24 109.17 104.43 103.51 102.87 100.69 97.77 104.77
Close/Last 113.52 114.01 112.13 113.09 110.26 109.17 104.92 104.02 103.61 100.74 109.28 104.79

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