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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, 2019
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   21 21 21 26 27 29 32 32 32 32 32
Closed Higher   14 10 10 12 19 15 21 12 19 17 14
Exceeded High   10 8 9 8 18 13 18 12 16 13 9
Scenario Percentage   71% 80% 90% 67% 95% 87% 86% 100% 84% 76% 64%
Avg Max Increase   3.67% 3.78% 3.04% 3.89% 5.07% 5.20% 4.27% 2.86% 3.88% 2.64% 1.96%
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 11 15 16 19 17 18 12 15 12 11
Avg Max Decline   -0.63% -0.77% -0.70% -0.28% -1.33% -0.85% -0.83% -1.03% -1.12% -1.47% -0.83%
Max Decline   -2.13% -3.83% -3.36% -1.09% -5.29% -2.34% -4.12% -3.37% -4.56% -2.99% -2.28%
Avg Days to Max Decline   7 11 8 8 10 4 5 9 6 14 3
2018 Contract Condition       Yes Yes       Yes   Yes  
Action       Yes No       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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   21 21 21 26 27 29 32 32 32 32 32
Closed Lower   7 11 11 14 8 14 11 20 13 15 18
Penetrated Low   6 8 6 9 6 10 11 14 7 13 9
Scenario Percentage   86% 73% 55% 64% 75% 71% 100% 70% 54% 87% 50%
Avg Max Decline   3.48% 3.71% 3.27% 3.26% 5.01% 4.48% 5.09% 2.90% 4.96% 4.68% 3.16%
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   19 21 10 11 22 15 21 16 14 13 10
Avg Max Increase   -1.44% -1.50% -1.74% -1.48% -0.81% -0.67% -1.31% -1.23% -1.33% -1.32% -0.59%
Max Increase   -2.00% -4.75% -3.74% -6.67% -1.53% -1.73% -2.27% -4.92% -2.41% -6.02% -2.93%
Avg Days to Max Increase   13 16 11 8 8 12 11 8 13 11 3
2018 Contract Condition   Yes Yes     Yes Yes Yes   Yes   Yes
Action   Yes Yes     Yes Yes Yes   Yes   Yes
High 80.46 78.63 77.04 78.10 81.22 80.39 79.05 78.14 76.10 76.82 74.84 74.54
Low 77.95 76.40 75.30 75.01 78.12 77.80 76.52 75.32 74.20 73.23 73.13 71.76
Close/Last 78.12 76.40 75.60 78.10 80.54 77.86 76.81 75.35 75.72 73.98 74.39 71.80

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