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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, 2016
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   18 18 18 23 24 26 29 29 29 29 29
Closed Higher   13 9 8 10 17 14 21 11 17 14 14
Exceeded High   10 7 8 7 16 12 18 11 14 11 9
Scenario Percentage   77% 78% 100% 70% 94% 86% 86% 100% 82% 79% 64%
Avg Max Increase   3.67% 4.09% 2.92% 4.11% 5.00% 5.45% 4.27% 2.99% 3.76% 2.77% 1.91%
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 17 18 13 15 12 10
Avg Max Decline   -0.63% -1.02% -0.79% -0.17% -1.40% -0.73% -0.83% -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 11 4 5 9 7 15 3
2015 Contract Condition   Yes       Yes   Yes   Yes    
Action   No       Yes   Yes   No    
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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   18 18 18 23 24 26 29 29 29 29 29
Closed Lower   5 9 10 13 7 12 8 18 12 15 15
Penetrated Low   4 6 6 9 5 8 8 14 6 12 7
Scenario Percentage   80% 67% 60% 69% 71% 67% 100% 78% 50% 80% 47%
Avg Max Decline   3.37% 4.33% 3.27% 3.26% 5.36% 4.67% 5.66% 2.90% 5.28% 4.84% 3.64%
Max Decline   7.59% 8.26% 5.98% 11.67% 8.85% 10.49% 11.67% 6.32% 11.68% 15.72% 7.69%
Avg Days To Max Decline   22 23 10 11 21 17 21 16 12 12 8
Avg Max Increase   -1.45% -1.60% -1.74% -1.48% -0.66% -0.64% -1.26% -1.23% -1.35% -0.93% -0.22%
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 19 11 8 6 13 10 8 14 10 2
2015 Contract Condition     Yes Yes Yes   Yes   Yes   Yes Yes
Action     Yes Yes Yes   Yes   Yes   Yes Yes
High 91.43 86.58 85.69 83.42 81.38 78.03 78.55 80.12 81.09 78.14 77.08 74.26
Low 85.16 84.00 83.37 79.54 76.48 75.47 74.95 74.70 75.75 75.54 72.18 70.33
Close/Last 85.34 86.03 83.37 80.27 76.78 77.29 75.47 78.58 76.12 76.85 72.76 71.18

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