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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, 2016
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   18 18 18 25 26 27 28 29 29 29 29
Closed Higher   7 13 9 18 9 15 13 14 15 20 16
Exceeded High   5 12 9 14 8 12 12 13 13 16 11
Scenario Percentage   71% 92% 100% 78% 89% 80% 92% 93% 87% 80% 69%
Avg Max Increase   4.16% 4.92% 5.02% 4.16% 2.61% 3.52% 3.53% 4.12% 4.68% 3.84% 1.75%
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 15 18 13 15 19 17 14 10 9
Avg Max Decline   -0.27% -1.64% -0.55% -0.74% -1.07% -1.29% -2.07% -1.23% -1.06% -0.71% -0.40%
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 5 12 7 17 7 8 4 3
2015 Contract Condition     Yes   Yes   Yes       Yes Yes
Action     Yes   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   18 18 18 25 26 27 28 29 29 29 29
Closed Lower   11 5 9 7 17 12 15 15 14 9 13
Penetrated Low   6 4 5 7 14 7 13 10 9 7 6
Scenario Percentage   55% 80% 56% 100% 82% 58% 87% 67% 64% 78% 46%
Avg Max Decline   3.78% 4.76% 4.99% 5.20% 2.87% 4.45% 5.35% 7.43% 6.07% 2.53% 2.08%
Max Decline   11.65% 8.78% 10.14% 11.64% 6.26% 11.65% 16.33% 29.41% 24.23% 5.75% 3.34%
Avg Days To Max Decline   9 14 17 22 17 11 15 18 21 16 9
Avg Max Increase   -2.14% -0.43% -0.59% -1.18% -1.38% -1.12% -1.24% -0.88% -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   10 4 11 11 10 12 11 8 9 8 4
2015 Contract Condition   Yes   Yes   Yes   Yes Yes Yes    
Action   Yes   No   Yes   Yes Yes No    
High 82.95 80.54 77.70 78.60 79.38 80.46 77.64 76.60 73.91 72.46 73.58 72.76
Low 79.14 76.11 75.75 74.48 74.65 75.62 75.29 71.86 70.03 68.74 69.72 70.03
Close/Last 79.88 76.41 76.98 75.18 78.24 75.77 76.49 72.42 70.86 69.88 71.17 72.28

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