MRCI's ScenarioSM Study

ScenarioSM Study for March Swiss Franc(CME) as of Jan 01, 2019
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		34	38	40	43	43	43	43	43	43	43	43
Closed Higher		13	16	21	19	22	28	22	19	24	16	22
Exceeded High		12	11	15	17	18	25	14	15	19	12	10
Scenario Percentage		92%	69%	71%	89%	82%	89%	64%	79%	79%	75%	45%
Avg Max Increase		3.19%	5.41%	6.45%	5.89%	5.73%	4.09%	5.11%	5.52%	3.98%	5.26%	3.21%
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		17	19	19	21	17	18	20	17	15	14	11
Avg Max Decline		-1.44%	-0.58%	-0.87%	-1.68%	-1.13%	-1.42%	-0.81%	-1.24%	-1.83%	-1.07%	-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	6	7	14	7	10	4	7	9	8	3
2018 Contract Condition		Yes	Yes	Yes		Yes			Yes	Yes	Yes
Action		Yes	Yes	Yes		No			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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		34	38	40	43	43	43	43	43	43	43	43
Closed Lower		20	22	19	24	21	15	21	24	19	27	21
Penetrated Low		16	16	16	20	14	13	18	18	18	21	16
Scenario Percentage		80%	73%	84%	83%	67%	87%	86%	75%	95%	78%	76%
Avg Max Decline		4.55%	3.60%	3.95%	3.08%	4.43%	4.00%	3.58%	4.31%	5.56%	3.88%	2.63%
Max Decline		9.60%	9.91%	7.87%	8.04%	13.62%	9.10%	6.74%	11.72%	12.52%	9.71%	7.23%
Avg Days To Max Decline		18	18	15	16	15	15	16	16	15	9	10
Avg Max Increase		-0.69%	-1.55%	-0.18%	-1.27%	-1.17%	-1.99%	-0.91%	-1.27%	-1.05%	-1.19%	-0.64%
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	10	6	11	6	10	5	6	3
2018 Contract Condition					Yes		Yes	Yes				Yes
Action					Yes		Yes	Yes				Yes
High	104.28	103.06	105.40	106.40	107.62	107.44	107.37	104.42	103.11	103.53	108.04	109.08
Low	101.13	101.43	101.18	104.37	104.52	103.91	103.65	100.63	100.62	101.03	102.04	105.84
Close/Last	102.32	102.81	105.40	106.11	105.03	105.58	104.47	101.19	102.44	103.27	107.76	106.09