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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 Dec 27, 2023
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   29 32 36 45 45 45 45 45 45 45 45
Closed Higher   18 10 19 24 19 23 17 22 21 32 15
Exceeded High   13 8 13 18 16 15 11 15 18 19 10
Scenario Percentage   72% 80% 68% 75% 84% 65% 65% 68% 86% 59% 67%
Avg Max Increase   2.62% 3.97% 4.50% 4.26% 3.61% 3.25% 3.26% 3.75% 3.86% 3.31% 1.75%
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   15 15 19 15 19 17 16 18 21 14 8
Avg Max Decline   -1.70% -0.45% -0.77% -0.74% -1.01% -0.67% -0.78% -1.18% -1.39% -1.11% -0.48%
Max Decline   -8.30% -1.45% -2.05% -2.93% -3.72% -1.86% -2.63% -2.69% -5.11% -4.15% -1.16%
Avg Days to Max Decline   10 8 14 6 9 6 8 8 7 9 3
2023 Contract Condition         Yes Yes   Yes   Yes Yes  
Action         Yes Yes   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   29 32 36 45 45 45 45 45 45 45 45
Closed Lower   11 22 17 20 26 22 28 23 23 13 30
Penetrated Low   10 17 12 14 18 19 22 19 15 12 14
Scenario Percentage   91% 77% 71% 70% 69% 86% 79% 83% 65% 92% 47%
Avg Max Decline   5.11% 4.46% 4.56% 3.36% 3.93% 4.41% 4.23% 3.79% 3.60% 4.01% 2.52%
Max Decline   14.86% 15.10% 17.67% 10.35% 12.31% 11.23% 13.67% 11.97% 7.53% 10.87% 7.80%
Avg Days To Max Decline   13 17 22 21 20 15 16 16 17 11 9
Avg Max Increase   -0.47% -1.10% -0.92% -1.08% -1.43% -1.02% -0.90% -1.23% -1.30% -0.70% -0.73%
Max Increase   -1.10% -3.73% -2.54% -4.57% -6.02% -5.37% -3.42% -4.19% -3.61% -1.72% -2.19%
Avg Days to Max Increase   7 10 11 6 12 7 6 11 8 4 3
2023 Contract Condition   Yes Yes Yes     Yes   Yes     Yes
Action   Yes Yes No     Yes   Yes     Not Yet
High 126.77 123.23 123.78 117.70 116.87 122.09 124.95 124.82 124.37 124.42 125.99 126.92
Low 120.67 118.63 116.36 104.41 109.46 112.28 120.42 118.87 119.48 118.28 122.93 123.14
Close/Last 122.74 122.63 116.45 111.44 115.31 121.13 121.07 123.56 120.81 123.55 125.79 124.28

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