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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, 2015
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   17 17 17 22 23 25 28 28 28 28 28
Closed Higher   12 9 8 10 16 14 20 11 16 14 14
Exceeded High   10 7 8 7 15 12 17 11 14 11 9
Scenario Percentage   83% 78% 100% 70% 94% 86% 85% 100% 88% 79% 64%
Avg Max Increase   3.67% 4.09% 2.92% 4.11% 5.08% 5.45% 4.34% 2.99% 3.76% 2.77% 1.94%
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 18 17 18 13 15 12 10
Avg Max Decline   -0.63% -1.02% -0.79% -0.17% -1.27% -0.73% -0.79% -1.06% -1.14% -1.37% -0.83%
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 9 4 5 9 7 15 3
2014 Contract Condition   Yes       Yes Yes Yes Yes Yes   Yes
Action   No       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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   17 17 17 22 23 25 28 28 28 28 28
Closed Lower   5 8 9 12 7 11 8 17 12 14 14
Penetrated Low   4 5 5 8 5 7 8 13 6 11 6
Scenario Percentage   80% 63% 56% 67% 71% 64% 100% 76% 50% 79% 43%
Avg Max Decline   3.37% 3.54% 2.72% 3.37% 5.36% 5.19% 5.66% 2.73% 5.28% 4.93% 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 12 11 21 19 21 15 12 13 10
Avg Max Increase   -1.45% -1.91% -1.82% -1.46% -0.66% -0.65% -1.26% -1.12% -1.35% -0.82% -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 23 9 5 6 14 10 7 14 10 2
2014 Contract Condition     Yes Yes Yes           Yes  
Action     Yes Yes No           Yes  
High 92.82 95.00 93.35 89.90 89.13 89.17 91.83 93.55 93.28 93.91 94.54 93.64
Low 86.94 91.22 89.05 86.93 85.82 86.17 88.13 91.07 91.29 91.65 92.51 92.16
Close/Last 91.22 92.62 89.31 87.77 86.17 88.13 91.68 92.09 92.37 93.76 92.65 93.25

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