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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, 2015
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   17 17 17 24 25 26 27 28 28 28 28
Closed Higher   7 12 9 17 9 14 13 14 15 19 15
Exceeded High   5 11 9 13 8 12 12 13 13 15 10
Scenario Percentage   71% 92% 100% 76% 89% 86% 92% 93% 87% 79% 67%
Avg Max Increase   4.16% 5.08% 5.02% 4.27% 2.61% 3.52% 3.53% 4.12% 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 18 15 18 13 15 19 17 14 11 10
Avg Max Decline   -0.27% -1.49% -0.55% -0.71% -1.07% -1.29% -2.07% -1.23% -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 9 3 6 12 7 17 7 8 4 3
2014 Contract Condition     Yes Yes Yes Yes Yes   Yes   Yes  
Action     Yes Yes Yes Yes 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   17 17 17 24 25 26 27 28 28 28 28
Closed Lower   10 5 8 7 16 12 14 14 13 9 13
Penetrated Low   5 4 5 7 13 7 12 9 9 7 6
Scenario Percentage   50% 80% 63% 100% 81% 58% 86% 64% 69% 78% 46%
Avg Max Decline   4.03% 4.76% 4.99% 5.20% 2.69% 4.45% 5.37% 7.93% 6.07% 2.64% 2.22%
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 16 19 21 16 10
Avg Max Increase   -2.23% -0.43% -0.59% -1.18% -1.29% -1.12% -1.17% -0.93% -1.38% -1.31% -0.55%
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 11 9 9 8 4
2014 Contract Condition   Yes           Yes   Yes   Yes
Action   No           Yes   Yes   Yes
High 89.35 88.59 88.62 91.11 92.84 92.41 93.27 93.94 93.03 93.38 88.82 87.78
Low 86.26 85.32 85.65 87.50 90.61 90.87 91.22 91.95 91.59 86.36 85.98 84.69
Close/Last 87.24 85.65 87.60 91.11 91.52 91.79 93.17 92.07 92.66 86.97 87.69 84.98

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