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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 Jun 08, 2020
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   22 22 22 29 30 31 32 33 33 33 33
Closed Higher   10 15 11 18 10 18 16 14 18 21 17
Exceeded High   6 14 11 14 9 15 14 13 16 16 12
Scenario Percentage   60% 93% 100% 78% 90% 83% 88% 93% 89% 76% 71%
Avg Max Increase   3.81% 4.98% 4.39% 4.16% 2.47% 3.50% 3.29% 4.12% 4.16% 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   13 19 15 18 12 16 18 17 16 10 9
Avg Max Decline   -0.37% -1.50% -0.68% -0.74% -1.00% -1.25% -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 3 5 10 7 15 7 9 4 3
2019 Contract Condition   Yes   Yes     Yes     Yes Yes  
Action   No   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   22 22 22 29 30 31 32 33 33 33 33
Closed Lower   12 7 11 11 20 13 16 19 15 12 16
Penetrated Low   6 6 7 11 15 8 14 14 10 9 8
Scenario Percentage   50% 86% 64% 100% 75% 62% 88% 74% 67% 75% 50%
Avg Max Decline   3.78% 3.92% 4.59% 4.53% 2.79% 4.27% 5.14% 5.88% 5.85% 2.75% 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 19 15 21 18 13 14 17 21 15 10
Avg Max Increase   -2.14% -0.73% -0.56% -1.09% -1.41% -1.12% -1.17% -1.30% -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 12 12 10 12 12 10 10 9 7 5
2019 Contract Condition     Yes   Yes Yes   Yes Yes     Yes
Action     Yes   Yes Yes   Yes Yes     Not Yet
High 74.14 73.06 72.95 71.80 72.14 70.91 70.51 71.03 68.90 69.11 69.38 69.36
Low 70.56 69.26 70.96 70.39 70.36 69.06 68.65 68.65 67.05 67.08 66.88 67.56
Close/Last 70.80 72.98 71.24 71.34 70.90 69.77 70.50 68.69 67.47 67.68 68.96 67.67

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