Moore Research Center, Inc.

  • Increase font size
  • Default font size
  • Decrease font size
Home MRCI Online
Print
New Windows

MRCI's Scenario Study

MRCI Logo
MRCI's ScenarioSM Study
ScenarioSM Study for June Swiss Franc(CME) as of Mar 31, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   30 32 36 41 41 41 41 41 41 41 41
Closed Higher   10 19 23 21 18 23 14 21 20 19 16
Exceeded High   9 17 21 12 14 18 11 15 16 15 9
Scenario Percentage   90% 89% 91% 57% 78% 78% 79% 71% 80% 79% 56%
Avg Max Increase   7.02% 5.35% 3.93% 5.33% 5.44% 3.87% 5.76% 4.18% 4.37% 2.70% 2.00%
Max Increase   18.85% 12.61% 11.13% 12.27% 11.00% 11.11% 14.44% 10.82% 8.87% 4.65% 4.08%
Avg Days To Max Increase   21 17 19 22 17 15 19 20 16 10 7
Avg Max Decline   -0.92% -1.01% -0.92% -0.40% -1.15% -1.69% -1.00% -1.62% -1.55% -1.29% -0.40%
Max Decline   -2.35% -4.88% -4.15% -1.86% -4.07% -4.46% -2.71% -7.31% -3.91% -5.56% -1.20%
Avg Days to Max Decline   11 10 10 3 8 8 10 10 7 5 1
2017 Contract Condition   Yes   Yes       Yes   Yes    
Action   Yes   Yes       Yes   Not Yet    
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   30 32 36 41 41 41 41 41 41 41 41
Closed Lower   20 13 13 20 22 18 27 20 21 21 25
Penetrated Low   15 10 11 15 16 17 21 19 20 16 15
Scenario Percentage   75% 77% 85% 75% 73% 94% 78% 95% 95% 76% 60%
Avg Max Decline   3.06% 4.52% 3.80% 3.61% 4.31% 5.62% 4.53% 3.99% 3.99% 4.68% 1.72%
Max Decline   8.02% 13.36% 8.76% 6.83% 11.57% 12.36% 12.27% 11.84% 8.28% 8.21% 4.09%
Avg Days To Max Decline   13 12 16 19 19 18 16 16 21 13 8
Avg Max Increase   -0.88% -0.81% -1.96% -0.55% -1.51% -1.06% -1.55% -1.40% -1.50% -0.94% -0.58%
Max Increase   -4.02% -3.18% -5.25% -2.83% -5.28% -4.57% -3.82% -5.47% -4.41% -4.15% -1.55%
Avg Days to Max Increase   7 6 12 8 11 5 10 12 11 4 3
2017 Contract Condition     Yes   Yes Yes Yes   Yes      
Action     Yes   Yes Yes Yes   Yes      
High 106.74 105.22 106.73 105.25 104.43 105.82 100.78 102.20 102.09 102.42    
Low 103.08 102.60 103.38 103.34 101.54 99.38 98.01 97.78 99.31 98.92    
Close/Last 104.31 105.22 103.51 104.69 102.35 99.62 99.29 101.98 100.18 100.40    

Banner

Newsflash

Seasonal AVERAGE charts for both CORN, SOYBEANS & FEEDER CATTLE.

Being able to see at what average spread different delivery months trade --- and when --- can help producers better hedge their livestock and traders to find spread value.

Updated daily for MRCI Online subscribers here! http://www.mrci.com/specialspreadcharts.htm