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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 Nov 09, 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   23 23 23 28 29 31 34 34 34 34 34
Closed Higher   15 11 11 13 19 16 22 13 21 18 15
Exceeded High   11 9 9 8 18 14 19 13 18 14 10
Scenario Percentage   73% 82% 82% 62% 95% 88% 86% 100% 86% 78% 67%
Avg Max Increase   3.52% 3.49% 3.04% 3.89% 5.07% 4.93% 4.48% 3.30% 3.90% 2.71% 1.75%
Max Increase   6.89% 8.30% 6.67% 5.86% 14.85% 15.44% 13.38% 8.56% 9.66% 5.75% 2.99%
Avg Days To Max Increase   20 11 15 16 19 17 17 14 16 11 9
Avg Max Decline   -0.72% -0.63% -0.70% -0.28% -1.33% -0.83% -0.91% -0.96% -1.10% -1.44% -0.79%
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   9 10 8 8 10 4 5 8 6 13 2
2020 Contract Condition   Yes   Yes       Yes Yes Yes Yes Yes
Action   Yes   No       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   23 23 23 28 29 31 34 34 34 34 34
Closed Lower   8 12 12 15 10 15 12 21 13 16 19
Penetrated Low   7 9 7 10 8 10 12 15 7 13 9
Scenario Percentage   88% 75% 58% 67% 80% 67% 100% 71% 54% 81% 47%
Avg Max Decline   3.12% 3.45% 3.01% 4.73% 5.88% 4.48% 4.93% 2.82% 4.96% 4.66% 3.08%
Max Decline   7.59% 8.26% 5.98% 17.94% 15.64% 10.49% 11.67% 6.32% 11.68% 15.72% 7.69%
Avg Days To Max Decline   20 22 9 12 22 15 20 17 14 11 9
Avg Max Increase   -1.86% -1.75% -1.42% -1.44% -1.03% -0.67% -1.21% -1.27% -1.33% -0.88% -0.59%
Max Increase   -4.37% -4.75% -3.74% -6.67% -1.79% -1.73% -2.27% -4.92% -2.41% -2.48% -2.93%
Avg Days to Max Increase   16 17 9 7 13 12 10 10 13 9 3
2020 Contract Condition     Yes   Yes Yes Yes          
Action     Yes   Yes Yes No          
High 69.37 69.70 69.52 70.68 70.23 67.96 66.60 65.70 66.83 70.64 72.29 74.04
Low 68.07 67.61 68.13 68.58 67.20 64.68 55.20 59.85 63.74 66.48 68.79 70.77
Close/Last 68.07 69.29 68.13 70.65 67.27 65.43 61.43 65.24 66.59 69.00 71.47 73.89

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