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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Australian Dollar(CME) as of Jan 01, 2014
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   14 14 15 23 23 24 26 26 26 26 27
Closed Higher   12 4 11 11 10 14 17 15 14 12 18
Exceeded High   9 4 9 10 9 11 15 11 11 10 13
Scenario Percentage   75% 100% 82% 91% 90% 79% 88% 73% 79% 83% 72%
Avg Max Increase   4.39% 3.52% 3.86% 3.59% 4.81% 4.88% 4.25% 3.52% 3.81% 3.20% 1.70%
Max Increase   12.44% 4.62% 9.04% 8.38% 10.90% 9.77% 8.20% 8.64% 9.59% 6.19% 2.79%
Avg Days To Max Increase   18 13 15 18 19 14 17 14 20 11 8
Avg Max Decline   -0.77% -1.09% -0.76% -1.96% -0.94% -1.05% -0.91% -1.01% -1.65% -0.49% -0.40%
Max Decline   -3.75% -3.04% -4.08% -8.21% -2.10% -2.89% -2.40% -4.07% -4.04% -1.04% -2.50%
Avg Days to Max Decline   6 13 7 19 5 9 7 9 10 3 2
2013 Contract Condition   Yes   Yes Yes   Yes Yes Yes   Yes  
Action   No   Yes Yes   No Yes Yes   Not Yet  
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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   14 14 15 23 23 24 26 26 26 26 27
Closed Lower   2 10 4 12 13 10 9 11 12 14 9
Penetrated Low   2 7 2 10 9 7 7 8 8 8 6
Scenario Percentage   100% 70% 50% 83% 69% 70% 78% 73% 67% 57% 67%
Avg Max Decline   3.83% 1.79% 8.28% 5.30% 7.73% 6.36% 2.92% 2.75% 3.54% 3.61% 2.08%
Max Decline   4.99% 3.68% 10.36% 15.75% 28.73% 23.67% 7.61% 7.25% 6.27% 10.68% 6.75%
Avg Days To Max Decline   17 12 16 16 19 18 18 17 17 7 6
Avg Max Increase   -1.90% -1.07% -1.68% -1.18% -0.75% -0.88% -1.47% -1.81% -2.03% -0.99% -0.24%
Max Increase   -2.19% -4.56% -2.41% -5.49% -2.73% -1.84% -1.99% -4.96% -5.09% -2.54% -0.96%
Avg Days to Max Increase   5 6 12 9 8 4 15 19 10 5 1
2013 Contract Condition     Yes     Yes       Yes   Yes
Action     Yes     Yes       Yes   Yes
High 103.51 101.59 101.13 100.24 103.10 103.75 104.70 102.82 103.97 105.20 105.47 104.35
Low 99.90 99.12 95.13 94.91 99.34 101.25 100.10 100.25 102.03 102.81 103.40 101.68
Close/Last 99.94 101.13 95.42 100.24 103.10 101.52 102.29 102.68 103.37 103.25 104.00 102.08

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