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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June British Pound(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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   26 29 33 43 43 43 43 43 43 43 43
Closed Higher   17 10 18 22 18 23 17 22 21 29 14
Exceeded High   13 8 13 17 15 16 11 16 18 17 9
Scenario Percentage   76% 80% 72% 77% 83% 70% 65% 73% 86% 59% 64%
Avg Max Increase   2.68% 4.77% 4.57% 3.80% 3.93% 3.18% 3.00% 3.60% 3.75% 3.30% 1.89%
Max Increase   6.12% 9.64% 14.16% 10.02% 9.10% 7.63% 8.23% 9.18% 12.92% 12.45% 3.32%
Avg Days To Max Increase   17 18 17 14 18 16 15 18 21 15 9
Avg Max Decline   -1.62% -0.49% -0.66% -0.66% -1.00% -0.48% -0.66% -0.98% -1.38% -0.89% -0.50%
Max Decline   -8.30% -1.45% -2.05% -2.93% -3.72% -1.86% -2.15% -2.69% -5.11% -3.35% -1.16%
Avg Days to Max Decline   10 8 14 7 9 5 8 7 8 9 3
2018 Contract Condition   Yes   Yes   Yes   Yes   Yes    
Action   Yes   No   Yes   No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   26 29 33 43 43 43 43 43 43 43 43
Closed Lower   9 19 15 20 25 20 26 21 21 14 29
Penetrated Low   8 14 12 13 16 17 20 17 14 13 15
Scenario Percentage   89% 74% 80% 65% 64% 85% 77% 81% 67% 93% 52%
Avg Max Decline   4.47% 4.48% 4.53% 3.45% 4.23% 4.71% 3.80% 3.46% 3.80% 4.05% 2.57%
Max Decline   11.31% 15.10% 17.67% 10.35% 12.31% 11.23% 7.96% 11.97% 7.69% 10.87% 7.80%
Avg Days To Max Decline   15 16 22 22 21 16 16 17 18 11 8
Avg Max Increase   -0.36% -1.11% -0.99% -0.94% -1.55% -1.12% -0.93% -1.17% -1.18% -0.70% -0.67%
Max Increase   -1.10% -3.73% -3.32% -4.57% -6.02% -5.37% -3.42% -4.19% -3.61% -1.72% -2.19%
Avg Days to Max Increase   6 9 12 6 11 7 6 12 8 5 3
2018 Contract Condition     Yes   Yes   Yes   Yes   Yes Yes
Action     No   No   No   Yes   Yes Yes
High 131.51 133.40 133.74 137.51 134.19 136.36 136.17 144.15 143.52 142.94 144.13 138.03
Low 127.66 129.77 129.12 130.49 131.36 131.42 134.00 135.37 138.28 137.79 137.42 132.15
Close/Last 131.51 133.33 130.59 135.13 133.78 136.15 136.02 142.52 138.33 140.58 137.76 132.99

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