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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 Jun 08, 2020
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   22 22 22 27 28 30 33 33 33 33 33
Closed Higher   14 11 10 13 19 16 21 12 20 17 14
Exceeded High   10 9 9 8 18 14 18 12 17 13 9
Scenario Percentage   71% 82% 90% 62% 95% 88% 86% 100% 85% 76% 64%
Avg Max Increase   3.67% 3.49% 3.04% 3.89% 5.07% 4.93% 4.27% 2.86% 3.70% 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 16 12 11
Avg Max Decline   -0.63% -0.63% -0.70% -0.28% -1.33% -0.83% -0.83% -1.03% -1.15% -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 10 8 8 10 4 5 9 7 14 3
2019 Contract Condition     Yes   Yes   Yes     Yes    
Action     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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   22 22 22 27 28 30 33 33 33 33 33
Closed Lower   8 11 12 14 9 14 12 21 13 16 19
Penetrated Low   7 8 7 9 7 10 12 15 7 13 9
Scenario Percentage   88% 73% 58% 64% 78% 71% 100% 71% 54% 81% 47%
Avg Max Decline   3.12% 3.71% 3.01% 3.26% 4.49% 4.48% 4.93% 2.82% 4.96% 4.75% 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   20 21 9 11 23 15 20 17 14 12 10
Avg Max Increase   -1.86% -1.50% -1.42% -1.48% -0.92% -0.67% -1.21% -1.27% -1.33% -0.88% -0.59%
Max Increase   -4.37% -4.75% -3.74% -6.67% -1.57% -1.73% -2.27% -4.92% -2.41% -2.48% -2.93%
Avg Days to Max Increase   16 16 9 8 13 12 10 10 13 9 3
2019 Contract Condition   Yes   Yes   Yes   Yes Yes   Yes Yes
Action   Yes   Yes   Yes   Yes Yes   Yes Not Yet
High 73.27 72.68 73.70 74.25 73.05 72.74 71.90 72.26 70.79 70.41 70.94 68.78
Low 71.37 70.94 72.28 70.46 69.66 70.85 70.31 70.17 68.88 68.49 68.43 66.85
Close/Last 72.61 71.14 73.43 70.71 72.88 71.14 71.22 70.74 69.61 70.36 68.51 67.31

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