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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September British Pound(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   23 25 28 38 38 39 39 39 39 39 39
Closed Higher   12 7 17 15 19 19 24 14 23 22 19
Exceeded High   9 6 10 11 14 16 16 12 19 15 13
Scenario Percentage   75% 86% 59% 73% 74% 84% 67% 86% 83% 68% 68%
Avg Max Increase   3.13% 4.65% 3.56% 2.99% 3.97% 3.77% 4.17% 6.44% 4.17% 3.15% 2.43%
Max Increase   6.62% 9.04% 7.13% 8.91% 9.44% 12.83% 12.95% 12.65% 13.11% 10.35% 7.99%
Avg Days To Max Increase   14 16 17 16 17 19 23 22 18 11 10
Avg Max Decline   -0.66% -1.26% -0.24% -0.81% -0.88% -1.22% -1.00% -1.42% -0.70% -1.08% -0.30%
Max Decline   -2.44% -2.87% -1.25% -3.13% -2.55% -4.48% -3.34% -3.02% -3.08% -3.63% -1.60%
Avg Days to Max Decline   7 10 3 10 7 6 10 7 9 6 4
2013 Contract Condition       Yes       Yes   Yes Yes Yes
Action       No       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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   23 25 28 38 38 39 39 39 39 39 39
Closed Lower   10 18 11 23 19 20 15 25 16 17 20
Penetrated Low   7 11 10 18 15 14 15 18 13 13 10
Scenario Percentage   70% 61% 91% 78% 79% 70% 100% 72% 81% 76% 50%
Avg Max Decline   4.06% 3.76% 5.00% 3.91% 3.68% 4.10% 5.09% 4.52% 3.26% 3.63% 2.77%
Max Decline   10.06% 12.22% 11.58% 7.99% 12.12% 8.21% 11.56% 12.29% 9.00% 11.74% 6.70%
Avg Days To Max Decline   22 20 18 18 18 18 15 14 11 13 8
Avg Max Increase   -0.73% -1.32% -0.85% -0.59% -1.04% -1.03% -0.78% -0.92% -0.99% -0.98% -0.36%
Max Increase   -4.68% -3.12% -5.20% -3.23% -3.05% -3.41% -2.18% -3.77% -3.47% -3.52% -1.04%
Avg Days to Max Increase   3 11 5 5 11 9 6 4 7 6 1
2013 Contract Condition   Yes Yes   Yes Yes Yes   Yes      
Action   Yes Yes   Yes Yes No   Yes      
High 162.24 161.67 161.15 162.69 162.31 158.40 152.45 155.49 155.80 157.43 154.32 157.16
Low 158.68 159.27 158.41 160.09 156.80 151.00 148.30 150.60 149.99 151.57 148.06 150.98
Close/Last 161.21 161.15 160.09 162.30 158.40 151.63 151.60 155.18 151.71 152.04 152.42 154.93

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