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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   16 16 16 21 22 24 27 27 27 27 27
Closed Higher   11 9 8 10 15 13 19 10 15 14 13
Exceeded High   10 7 8 7 14 11 16 10 13 11 8
Scenario Percentage   91% 78% 100% 70% 93% 85% 84% 100% 87% 79% 62%
Avg Max Increase   3.67% 4.09% 2.92% 4.11% 5.01% 5.76% 4.48% 3.05% 3.99% 2.79% 2.10%
Max Increase   6.89% 8.30% 6.67% 5.86% 14.85% 15.44% 13.38% 6.14% 9.66% 5.75% 2.99%
Avg Days To Max Increase   19 13 13 15 19 18 17 14 16 13 11
Avg Max Decline   -0.63% -1.02% -0.79% -0.17% -1.36% -0.73% -0.79% -1.09% -1.22% -1.37% -0.84%
Max Decline   -2.13% -3.83% -3.36% -0.83% -5.29% -1.82% -4.12% -3.37% -4.56% -2.99% -2.28%
Avg Days to Max Decline   7 12 9 4 10 4 5 10 7 15 3
2013 Contract Condition   Yes Yes Yes Yes   Yes          
Action   Yes Yes Yes No   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   16 16 16 21 22 24 27 27 27 27 27
Closed Lower   5 7 8 11 7 11 8 17 12 13 14
Penetrated Low   4 4 4 8 5 7 8 13 6 10 6
Scenario Percentage   80% 57% 50% 73% 71% 64% 100% 76% 50% 77% 43%
Avg Max Decline   3.37% 3.45% 2.85% 3.37% 5.36% 5.19% 5.66% 2.73% 5.28% 5.12% 3.86%
Max Decline   7.59% 7.05% 3.34% 11.67% 8.85% 10.49% 11.67% 6.32% 11.68% 15.72% 7.69%
Avg Days To Max Decline   22 21 9 11 21 19 21 15 12 13 10
Avg Max Increase   -1.45% -2.22% -1.88% -1.46% -0.66% -0.65% -1.26% -1.12% -1.35% -0.76% -0.19%
Max Increase   -1.54% -4.75% -3.74% -6.67% -0.89% -1.57% -2.27% -4.92% -2.41% -2.48% -1.11%
Avg Days to Max Increase   17 26 8 5 6 14 10 7 14 7 2
2013 Contract Condition           Yes   Yes Yes Yes Yes Yes
Action           No   Yes Yes Yes Yes Not Yet
High 102.43 101.33 102.44 103.54 104.06 102.68 103.54 104.54 102.69 97.19 92.84 92.17
Low 98.95 99.11 100.96 101.74 102.00 100.40 100.50 101.14 94.57 90.62 89.01 88.23
Close/Last 100.92 101.33 101.99 102.00 102.68 100.77 102.83 102.59 95.02 91.07 89.78 88.92

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