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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, 2018
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   33 37 39 42 42 42 42 42 42 42 42
Closed Higher   12 15 20 19 21 28 22 18 23 15 22
Exceeded High   11 10 14 17 18 25 14 14 18 11 10
Scenario Percentage   92% 67% 70% 89% 86% 89% 64% 78% 78% 73% 45%
Avg Max Increase   3.16% 5.74% 6.81% 5.89% 5.73% 4.09% 5.11% 5.53% 3.89% 5.23% 2.61%
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 8
Avg Max Decline   -1.43% -0.54% -0.85% -1.68% -1.13% -1.42% -0.81% -1.23% -1.86% -1.01% -0.76%
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 10 4 7 9 8 2
2017 Contract Condition       Yes Yes   Yes       Yes  
Action       No 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   33 37 39 42 42 42 42 42 42 42 42
Closed Lower   20 22 19 23 21 14 20 24 19 27 20
Penetrated Low   16 16 16 19 14 12 17 18 18 21 14
Scenario Percentage   80% 73% 84% 83% 67% 86% 85% 75% 95% 78% 70%
Avg Max Decline   4.55% 3.60% 3.95% 3.17% 4.43% 4.02% 3.75% 4.31% 5.56% 3.70% 2.36%
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   18 18 15 16 15 16 16 16 15 9 8
Avg Max Increase   -0.69% -1.55% -0.18% -1.22% -1.17% -2.16% -0.96% -1.27% -1.05% -1.19% -0.52%
Max Increase   -2.32% -3.98% -2.84% -4.67% -3.30% -5.54% -3.63% -5.35% -4.51% -3.76% -2.34%
Avg Days to Max Increase   6 15 8 9 6 11 7 10 5 6 3
2017 Contract Condition   Yes Yes     Yes   Yes Yes Yes   Yes
Action   Yes Yes     Yes   Yes Yes Yes   Yes
High 106.17 106.89 107.07 106.16 104.61 106.10 104.72 103.93 105.44 100.35 101.63 101.51
Low 101.95 103.88 102.10 102.46 101.98 102.77 102.53 100.84 98.67 97.23 97.13 98.70
Close/Last 105.96 105.93 102.10 103.70 104.61 102.88 104.06 101.75 99.01 98.66 101.36 99.60

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