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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 May 10, 2021
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   23 23 23 30 31 32 33 34 34 34 34
Closed Higher   10 15 11 19 11 19 17 15 18 21 18
Exceeded High   6 14 11 15 10 16 15 14 16 16 13
Scenario Percentage   60% 93% 100% 79% 91% 84% 88% 93% 89% 76% 72%
Avg Max Increase   3.81% 4.98% 4.39% 4.42% 3.08% 3.74% 3.32% 3.85% 4.16% 3.84% 1.81%
Max Increase   5.69% 13.48% 15.16% 12.59% 8.58% 9.61% 8.52% 11.04% 9.75% 8.12% 4.11%
Avg Days To Max Increase   13 19 15 17 14 17 16 16 16 10 9
Avg Max Decline   -0.37% -1.50% -0.68% -0.83% -0.90% -1.19% -1.97% -1.17% -1.24% -0.71% -0.30%
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 9 7 15 6 9 4 2
2020 Contract Condition         Yes Yes Yes Yes Yes     Yes
Action         Yes Yes Yes Yes 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   23 23 23 30 31 32 33 34 34 34 34
Closed Lower   13 8 12 11 20 13 16 19 16 13 16
Penetrated Low   7 7 7 11 15 8 14 14 11 10 7
Scenario Percentage   54% 88% 58% 100% 75% 62% 88% 74% 69% 77% 44%
Avg Max Decline   5.80% 5.59% 4.59% 4.53% 2.79% 4.27% 5.14% 5.88% 5.54% 2.40% 1.90%
Max Decline   17.96% 15.59% 10.14% 11.64% 6.26% 11.65% 16.33% 29.41% 24.23% 5.75% 3.34%
Avg Days To Max Decline   11 19 15 21 18 13 14 17 19 14 8
Avg Max Increase   -1.93% -0.81% -0.56% -1.09% -1.41% -1.12% -1.17% -1.30% -1.30% -1.29% -0.64%
Max Increase   -6.58% -1.40% -1.57% -2.41% -4.71% -2.36% -5.96% -3.09% -3.42% -2.36% -1.16%
Avg Days to Max Increase   9 11 12 10 12 12 10 10 9 7 4
2020 Contract Condition   Yes Yes Yes           Yes Yes  
Action   Yes Yes No           Yes Yes  
High 70.78 70.80 67.85 66.33 65.66 66.80 70.49 72.29 74.04 74.16 72.45 74.09
Low 68.50 67.38 65.17 55.28 59.90 63.79 66.54 68.80 70.80 70.08 70.03 69.92
Close/Last 70.78 67.38 65.49 61.42 65.23 66.58 68.99 71.48 73.90 71.63 70.30 73.55

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