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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Australian Dollar(CME) as of Dec 30, 2016
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   18 18 19 24 26 26 28 30 30 30 30
Closed Higher   7 6 10 18 14 13 11 21 17 21 11
Exceeded High   6 5 8 13 12 9 8 18 14 17 9
Scenario Percentage   86% 83% 80% 72% 86% 69% 73% 86% 82% 81% 82%
Avg Max Increase   3.95% 5.94% 5.87% 3.94% 3.29% 3.22% 3.87% 5.43% 5.11% 4.09% 1.70%
Max Increase   8.04% 10.62% 9.22% 7.04% 8.54% 7.74% 6.06% 15.17% 15.68% 13.56% 3.48%
Avg Days To Max Increase   22 22 17 19 14 18 15 21 18 9 5
Avg Max Decline   -2.88% -1.58% -0.61% -0.66% -0.89% -1.50% -0.37% -1.50% -0.91% -0.73% -0.35%
Max Decline   -8.29% -2.11% -1.95% -1.60% -4.15% -3.97% -1.05% -5.42% -2.35% -1.99% -1.19%
Avg Days to Max Decline   26 3 5 8 8 11 4 9 6 4 2
2016 Contract Condition         Yes Yes Yes   Yes Yes    
Action         Yes Yes No   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   18 18 19 24 26 26 28 30 30 30 30
Closed Lower   11 12 9 6 12 12 17 9 13 9 19
Penetrated Low   10 6 6 5 7 9 10 7 9 9 11
Scenario Percentage   91% 50% 67% 83% 58% 75% 59% 78% 69% 100% 58%
Avg Max Decline   5.65% 9.33% 6.75% 3.01% 4.30% 3.21% 3.58% 4.10% 4.49% 5.41% 2.05%
Max Decline   15.68% 27.82% 22.66% 7.62% 8.57% 6.21% 11.76% 9.22% 10.75% 10.03% 6.17%
Avg Days To Max Decline   15 11 19 22 22 16 12 16 16 14 6
Avg Max Increase   -1.39% -0.04% -1.00% -1.41% -1.71% -1.53% -1.16% -0.63% -0.92% -1.22% -0.12%
Max Increase   -5.47% -1.05% -1.86% -1.68% -4.82% -3.84% -2.67% -1.13% -1.82% -2.29% -2.30%
Avg Days to Max Increase   10 5 8 15 16 8 10 4 17 5 2
2016 Contract Condition   Yes Yes Yes       Yes     Yes Yes
Action   Yes Yes No       No     Yes Not Yet
High 76.61 75.16 73.03 71.73 72.88 71.85 73.00 72.42 72.22 76.98 78.18 77.08
Low 74.61 71.73 70.03 68.38 69.48 69.48 70.37 67.83 69.35 70.77 74.70 71.40
Close/Last 75.85 71.86 70.32 69.31 70.61 71.67 72.36 70.24 71.03 76.50 75.87 72.13

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