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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   31 34 38 41 42 42 42 42 42 42 42
Closed Higher   11 17 19 25 14 25 23 17 21 22 17
Exceeded High   7 11 16 18 12 21 16 14 16 16 12
Scenario Percentage   64% 65% 84% 72% 86% 84% 70% 82% 76% 73% 71%
Avg Max Increase   3.10% 4.15% 3.74% 3.74% 6.33% 3.89% 3.05% 4.06% 4.48% 3.47% 1.55%
Max Increase   9.26% 10.03% 12.46% 12.84% 12.46% 13.09% 6.30% 8.90% 10.00% 7.62% 3.58%
Avg Days To Max Increase   19 20 20 22 22 17 16 15 17 11 8
Avg Max Decline   -1.06% -1.05% -1.32% -1.34% -1.39% -0.66% -1.54% -0.72% -0.80% -0.77% -0.53%
Max Decline   -3.15% -2.48% -4.69% -9.30% -3.08% -3.03% -8.29% -2.69% -3.28% -2.30% -2.54%
Avg Days to Max Decline   12 10 7 11 7 8 8 8 10 4 3
2016 Contract Condition       Yes Yes     Yes       Yes
Action       Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   31 34 38 41 42 42 42 42 42 42 42
Closed Lower   20 17 19 16 28 17 19 24 20 20 25
Penetrated Low   16 12 14 16 19 14 15 17 17 13 12
Scenario Percentage   80% 71% 74% 100% 68% 82% 79% 71% 85% 65% 48%
Avg Max Decline   3.35% 2.92% 3.88% 5.00% 4.81% 3.32% 4.33% 4.10% 4.99% 3.36% 1.76%
Max Decline   7.83% 7.75% 8.79% 12.33% 12.04% 8.74% 11.74% 15.61% 18.44% 10.17% 5.87%
Avg Days To Max Decline   18 15 16 14 15 10 17 13 19 14 8
Avg Max Increase   -0.79% -0.95% -0.77% -0.69% -1.30% -0.94% -1.02% -1.05% -1.01% -0.51% -0.65%
Max Increase   -3.16% -2.99% -2.16% -2.18% -5.43% -3.37% -3.70% -3.24% -3.20% -1.60% -1.84%
Avg Days to Max Increase   6 11 7 6 7 7 10 6 9 3 2
2016 Contract Condition   Yes Yes     Yes Yes   Yes Yes Yes  
Action   Yes No     Yes Yes   Yes Yes Not Yet  
High 152.79 147.61 146.71 145.33 146.82 147.51 150.00 135.01 134.02 134.71 129.67 126.82
Low 147.57 141.27 138.77 139.39 140.34 143.63 131.48 128.27 128.96 129.32 120.34 122.15
Close/Last 147.57 142.66 139.47 143.95 146.30 144.92 132.61 132.70 131.55 129.97 122.54 125.10

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