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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   31 33 37 42 42 42 42 42 42 42 42
Closed Higher   11 19 24 21 18 23 15 21 21 20 17
Exceeded High   10 17 22 12 14 18 12 15 17 16 10
Scenario Percentage   91% 89% 92% 57% 78% 78% 80% 71% 81% 80% 59%
Avg Max Increase   6.46% 5.35% 3.80% 5.33% 5.44% 3.87% 5.32% 4.18% 4.29% 2.73% 1.86%
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 18 22 17 15 20 20 17 9 7
Avg Max Decline   -0.98% -1.01% -1.01% -0.40% -1.15% -1.69% -1.16% -1.62% -1.52% -1.32% -0.41%
Max Decline   -2.35% -4.88% -4.15% -1.86% -4.07% -4.46% -3.00% -7.31% -3.91% -5.56% -1.20%
Avg Days to Max Decline   11 10 11 3 8 8 12 10 9 5 1
2017 Contract Condition   Yes   Yes       Yes   Yes Yes Yes
Action   Yes   Yes       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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   31 33 37 42 42 42 42 42 42 42 42
Closed Lower   20 14 13 21 23 19 27 21 21 21 25
Penetrated Low   15 11 11 16 17 18 21 20 20 16 15
Scenario Percentage   75% 79% 85% 76% 74% 95% 78% 95% 95% 76% 60%
Avg Max Decline   3.06% 4.29% 3.80% 3.65% 4.16% 5.39% 4.53% 3.86% 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 13 16 19 18 17 16 16 21 13 8
Avg Max Increase   -0.88% -0.89% -1.96% -0.72% -1.49% -0.98% -1.55% -1.32% -1.50% -0.94% -0.58%
Max Increase   -4.02% -3.18% -5.25% -3.39% -5.28% -4.57% -3.82% -5.47% -4.41% -4.15% -1.55%
Avg Days to Max Increase   7 8 12 8 11 5 10 12 11 4 3
2017 Contract Condition     Yes   Yes Yes Yes   Yes      
Action     Yes   Yes Yes Yes   Yes      
High 106.74 105.22 106.73 105.25 104.43 105.82 100.78 102.20 102.09 102.42 101.38 103.53
Low 103.08 102.60 103.38 103.34 101.54 99.38 98.01 97.78 99.31 98.92 99.34 99.21
Close/Last 104.31 105.22 103.51 104.69 102.35 99.62 99.29 101.98 100.18 100.40 100.88 103.49

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