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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March British Pound(CME) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   27 29 34 41 41 41 41 41 41 41 41
Closed Higher   19 9 19 22 18 23 22 16 23 16 21
Exceeded High   13 7 14 16 13 18 16 14 16 10 11
Scenario Percentage   68% 78% 74% 73% 72% 78% 73% 88% 70% 63% 52%
Avg Max Increase   3.33% 5.38% 3.04% 2.90% 4.42% 4.92% 4.02% 3.78% 3.10% 2.96% 1.90%
Max Increase   12.74% 12.78% 11.10% 6.15% 9.32% 13.69% 9.95% 8.88% 7.68% 6.15% 5.08%
Avg Days To Max Increase   22 23 17 16 16 16 15 19 16 9 8
Avg Max Decline   -0.92% -1.31% -0.80% -1.47% -0.57% -0.70% -0.85% -1.35% -0.54% -0.71% -0.38%
Max Decline   -3.17% -2.83% -2.84% -8.60% -2.75% -3.41% -2.53% -4.03% -1.88% -2.61% -1.03%
Avg Days to Max Decline   12 9 9 7 9 9 6 11 5 7 2
2016 Contract Condition   Yes   Yes       Yes        
Action   Yes   No       No        
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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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   27 29 34 41 41 41 41 41 41 41 41
Closed Lower   8 20 15 19 23 18 19 25 18 25 20
Penetrated Low   8 11 11 16 16 15 14 17 16 20 13
Scenario Percentage   100% 55% 73% 84% 70% 83% 74% 68% 89% 80% 65%
Avg Max Decline   3.25% 4.58% 3.33% 4.14% 4.26% 5.07% 3.67% 3.96% 4.76% 3.41% 2.24%
Max Decline   6.46% 12.12% 8.32% 11.58% 15.28% 18.14% 10.72% 12.29% 10.36% 8.09% 4.68%
Avg Days To Max Decline   18 17 11 18 16 19 19 20 16 11 8
Avg Max Increase   -0.60% -0.84% -0.82% -0.94% -0.82% -0.86% -1.03% -1.51% -1.18% -0.90% -0.14%
Max Increase   -2.18% -3.43% -3.25% -3.52% -3.22% -2.56% -4.65% -6.17% -5.49% -3.34% -1.49%
Avg Days to Max Increase   6 6 9 11 8 8 6 11 7 6 3
2016 Contract Condition     Yes   Yes Yes Yes   Yes Yes Yes Yes
Action     No   Yes Yes Yes   Yes Yes Yes Not Yet
High 153.48 154.08 157.39 158.55 156.50 157.89 156.40 154.96 154.88 152.42 148.18 146.74
Low 146.87 146.32 151.00 151.82 153.16 153.36 150.97 150.98 149.98 147.26 140.79 138.35
Close/Last 148.28 153.37 152.68 157.08 155.95 153.36 151.09 154.19 150.62 147.34 142.42 139.16

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