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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 Oct 20, 2019
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   30 32 37 44 44 44 44 44 44 44 44
Closed Higher   21 9 20 24 18 25 22 18 23 19 22
Exceeded High   15 7 15 18 13 18 16 16 16 12 12
Scenario Percentage   71% 78% 75% 75% 72% 72% 73% 89% 70% 63% 55%
Avg Max Increase   3.05% 5.38% 2.96% 2.84% 4.42% 4.92% 4.02% 3.81% 3.10% 2.70% 1.81%
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 16 16 16 16 15 19 16 9 9
Avg Max Decline   -1.12% -1.31% -0.85% -1.64% -0.57% -0.70% -0.85% -1.28% -0.54% -0.86% -0.54%
Max Decline   -4.00% -2.83% -2.84% -8.60% -2.75% -3.41% -2.53% -4.03% -1.88% -2.66% -2.36%
Avg Days to Max Decline   15 9 9 9 9 9 6 10 5 7 3
2019 Contract Condition             Yes       Yes Yes
Action             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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   30 32 37 44 44 44 44 44 44 44 44
Closed Lower   9 23 17 20 26 19 22 26 21 25 22
Penetrated Low   9 14 13 17 18 16 15 18 18 20 16
Scenario Percentage   100% 61% 76% 85% 69% 84% 68% 69% 86% 80% 73%
Avg Max Decline   3.47% 4.72% 3.33% 4.09% 4.36% 5.19% 3.59% 3.87% 4.51% 3.43% 2.22%
Max Decline   6.46% 12.12% 8.32% 11.58% 15.28% 18.14% 10.72% 12.29% 10.36% 8.09% 5.78%
Avg Days To Max Decline   19 17 11 18 17 19 18 19 16 10 8
Avg Max Increase   -0.43% -0.97% -0.79% -0.88% -0.99% -0.79% -1.17% -1.47% -1.10% -0.90% -0.25%
Max Increase   -2.18% -3.43% -3.25% -3.52% -3.22% -2.56% -4.65% -6.17% -5.49% -3.34% -2.12%
Avg Days to Max Increase   5 7 8 10 9 7 6 10 7 6 3
2019 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes Yes    
Action   Yes Yes Yes Yes Yes   Yes Yes Yes    
High 144.58 145.90 138.37 136.29 134.21 132.68 133.84 133.56 132.57 129.12 132.52 133.64
Low 139.76 139.39 134.43 132.31 131.61 128.22 129.30 127.89 127.97 125.40 125.12 127.91
Close/Last 142.26 139.66 134.81 133.52 132.65 130.76 131.50 128.57 128.14 127.90 131.41 132.78

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