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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Australian Dollar(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   16 16 16 23 24 25 26 27 27 27 27
Closed Higher   7 11 8 16 8 13 13 13 15 18 15
Exceeded High   5 10 8 12 7 11 12 12 13 15 10
Scenario Percentage   71% 91% 100% 75% 88% 85% 92% 92% 87% 83% 67%
Avg Max Increase   4.16% 4.99% 5.41% 4.46% 2.65% 3.77% 3.53% 4.40% 4.68% 3.86% 1.73%
Max Increase   5.69% 13.48% 15.16% 12.59% 5.02% 9.61% 8.52% 11.04% 9.75% 8.12% 4.11%
Avg Days To Max Increase   11 19 16 18 15 17 19 18 14 11 10
Avg Max Decline   -0.27% -1.63% -0.55% -0.71% -1.13% -1.40% -2.07% -1.27% -1.06% -0.65% -0.43%
Max Decline   -0.84% -5.28% -1.76% -4.00% -3.41% -4.51% -10.20% -3.23% -3.12% -2.43% -1.25%
Avg Days to Max Decline   2 10 3 5 13 8 17 7 8 4 3
2013 Contract Condition   Yes   Yes           Yes Yes  
Action   No   Yes           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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   16 16 16 23 24 25 26 27 27 27 27
Closed Lower   9 5 8 7 16 12 13 14 12 9 12
Penetrated Low   5 4 5 7 13 7 11 9 8 7 5
Scenario Percentage   56% 80% 63% 100% 81% 58% 85% 64% 67% 78% 42%
Avg Max Decline   4.03% 4.76% 4.99% 5.20% 2.69% 4.45% 5.30% 7.93% 6.50% 2.64% 1.98%
Max Decline   11.65% 8.78% 10.14% 11.64% 6.26% 11.65% 16.33% 29.41% 24.23% 6.50% 3.69%
Avg Days To Max Decline   9 14 17 22 16 11 15 19 20 16 9
Avg Max Increase   -2.23% -0.43% -0.59% -1.18% -1.29% -1.12% -1.15% -0.93% -1.29% -1.31% -0.57%
Max Increase   -6.58% -0.74% -1.57% -2.41% -4.71% -2.36% -5.96% -3.09% -3.42% -2.10% -1.00%
Avg Days to Max Increase   7 4 11 11 9 12 8 9 7 8 5
2013 Contract Condition     Yes   Yes Yes Yes Yes Yes     Yes
Action     Yes   Yes Yes Yes Yes No     Yes
High 102.90 103.35 102.02 102.85 103.59 101.97 96.26 92.10 91.59 94.76 97.25 95.18
Low 101.10 101.37 100.12 99.87 100.60 94.25 90.10 88.55 87.69 88.40 92.42 90.45
Close/Last 101.37 102.02 100.12 102.16 101.97 94.46 90.51 89.26 88.40 92.79 94.31 90.92

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