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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 Oct 20, 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   35 39 41 44 44 44 44 44 44 44 44
Closed Higher   13 17 21 19 23 28 22 20 25 16 22
Exceeded High   12 12 15 17 19 25 14 16 20 12 10
Scenario Percentage   92% 71% 71% 89% 83% 89% 64% 80% 80% 75% 45%
Avg Max Increase   3.19% 4.99% 6.45% 5.89% 5.50% 4.09% 5.11% 5.33% 3.83% 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 18 19 21 17 18 20 17 15 14 11
Avg Max Decline   -1.44% -0.56% -0.87% -1.68% -1.11% -1.42% -0.81% -1.17% -1.78% -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 5 7 14 7 10 4 7 9 8 3
2019 Contract Condition     Yes     Yes     Yes Yes    
Action     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   35 39 41 44 44 44 44 44 44 44 44
Closed Lower   21 22 20 25 21 16 22 24 19 28 22
Penetrated Low   17 16 17 20 14 14 19 18 18 22 17
Scenario Percentage   81% 73% 85% 80% 67% 88% 86% 75% 95% 79% 77%
Avg Max Decline   4.37% 3.60% 3.82% 3.08% 4.43% 3.97% 3.42% 4.31% 5.56% 3.80% 2.57%
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   17 18 15 16 15 14 15 16 15 9 10
Avg Max Increase   -0.61% -1.55% -0.19% -1.27% -1.17% -1.82% -0.93% -1.27% -1.05% -1.15% -0.61%
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 10 6 10 5 6 3
2019 Contract Condition   Yes   Yes Yes   Yes Yes     Yes Yes
Action   Yes   Yes No   Yes Yes     Yes Yes
High 110.50 108.13 104.29 104.75 103.64 105.44 106.54 103.39 102.10 102.88 103.54 101.19
Low 107.70 104.00 102.44 102.51 101.57 102.23 103.59 100.46 100.02 100.97 100.48 99.30
Close/Last 107.90 104.00 104.29 103.33 103.14 105.05 103.83 100.56 101.10 102.44 100.94 100.38

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