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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, 2019
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   32 34 38 43 43 43 43 43 43 43 43
Closed Higher   11 20 24 21 19 24 16 21 21 20 18
Exceeded High   10 17 22 12 15 19 13 15 17 16 11
Scenario Percentage   91% 85% 92% 57% 79% 79% 81% 71% 81% 80% 61%
Avg Max Increase   6.46% 5.35% 3.80% 5.33% 5.44% 3.96% 5.00% 4.18% 4.29% 2.73% 1.74%
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 18 15 19 20 17 9 7
Avg Max Decline   -0.98% -1.01% -1.01% -0.40% -1.16% -1.66% -1.21% -1.62% -1.52% -1.32% -0.43%
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
2018 Contract Condition     Yes     Yes Yes Yes       Yes
Action     No     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   32 34 38 43 43 43 43 43 43 43 43
Closed Lower   21 14 14 22 23 19 27 22 22 22 25
Penetrated Low   16 11 12 17 17 18 21 21 21 17 15
Scenario Percentage   76% 79% 86% 77% 74% 95% 78% 95% 95% 77% 60%
Avg Max Decline   2.95% 4.29% 3.78% 3.47% 4.16% 5.39% 4.53% 3.93% 4.05% 4.50% 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   14 13 15 18 18 17 16 16 20 13 8
Avg Max Increase   -0.96% -0.89% -1.77% -0.65% -1.49% -0.98% -1.55% -1.31% -1.46% -0.89% -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   8 8 11 7 11 5 10 11 11 4 3
2018 Contract Condition   Yes   Yes Yes       Yes Yes Yes  
Action   Yes   Yes Yes       Yes Yes Yes  
High 107.06 108.32 107.94 107.88 104.79 103.79 104.20 108.83 109.91 108.04 105.63 101.89
Low 105.11 105.24 104.66 104.35 101.38 101.30 101.81 102.79 106.68 104.99 101.16 99.72
Close/Last 106.78 105.68 106.24 105.14 101.87 103.15 104.01 108.57 106.94 105.14 101.32 101.64

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