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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, 2019
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   21 21 21 28 29 30 31 32 32 32 32
Closed Higher   9 15 10 18 10 17 16 14 17 20 17
Exceeded High   6 14 10 14 9 14 14 13 15 16 12
Scenario Percentage   67% 93% 100% 78% 90% 82% 88% 93% 88% 80% 71%
Avg Max Increase   3.81% 4.98% 4.71% 4.16% 2.47% 3.69% 3.29% 4.12% 4.27% 3.86% 1.74%
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   13 19 15 18 12 16 18 17 15 11 9
Avg Max Decline   -0.37% -1.50% -0.71% -0.74% -1.00% -1.24% -2.04% -1.23% -1.24% -0.71% -0.32%
Max Decline   -0.88% -5.28% -2.13% -4.00% -3.41% -4.51% -10.20% -3.23% -3.12% -2.43% -1.25%
Avg Days to Max Decline   8 8 4 5 10 7 15 7 9 4 3
2018 Contract Condition   Yes       Yes   Yes   Yes   Yes
Action   No       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   21 21 21 28 29 30 31 32 32 32 32
Closed Lower   12 6 11 10 19 13 15 18 15 12 15
Penetrated Low   6 5 7 10 14 8 13 13 10 9 8
Scenario Percentage   50% 83% 64% 100% 74% 62% 87% 72% 67% 75% 53%
Avg Max Decline   3.78% 4.46% 4.59% 4.66% 2.87% 4.27% 5.35% 6.27% 5.85% 2.75% 2.04%
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 17 15 21 17 13 15 19 21 15 11
Avg Max Increase   -2.14% -0.63% -0.56% -1.19% -1.38% -1.12% -1.24% -1.22% -1.32% -1.39% -0.79%
Max Increase   -6.58% -1.40% -1.57% -2.41% -4.71% -2.36% -5.96% -3.09% -3.42% -2.36% -1.87%
Avg Days to Max Increase   10 6 12 11 10 12 11 10 9 7 5
2018 Contract Condition     Yes Yes Yes   Yes   Yes   Yes  
Action     Yes Yes Yes   Yes   Yes   Not Yet  
High 78.11 81.25 80.43 79.02 78.00 76.05 76.80 74.85 74.53 73.19 72.43 73.47
Low 75.01 78.26 77.71 76.61 75.40 74.41 73.30 73.22 71.79 70.88 70.24 70.77
Close/Last 78.11 80.58 77.93 76.87 75.42 75.79 74.03 74.43 71.82 72.27 70.77 73.05

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