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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Canadian Dollar(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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   34 36 36 37 37 37 37 37 37 37 37
Closed Higher   22 16 22 18 21 25 18 14 20 12 19
Exceeded High   18 9 16 12 18 18 12 13 18 11 13
Scenario Percentage   82% 56% 73% 67% 86% 72% 67% 93% 90% 92% 68%
Avg Max Increase   2.55% 2.30% 2.02% 3.00% 2.78% 2.79% 2.12% 1.93% 2.01% 1.79% 1.60%
Max Increase   10.35% 4.44% 3.96% 5.66% 11.64% 9.54% 4.41% 4.07% 4.62% 4.39% 3.66%
Avg Days To Max Increase   20 19 22 19 17 16 15 19 18 9 9
Avg Max Decline   -0.60% -1.33% -0.52% -0.48% -0.50% -0.56% -0.49% -1.03% -0.79% -0.69% -0.27%
Max Decline   -2.05% -6.78% -1.87% -2.99% -2.56% -2.54% -2.24% -3.31% -4.63% -2.04% -1.31%
Avg Days to Max Decline   9 13 10 9 5 9 5 15 9 7 2
2013 Contract Condition   Yes   Yes Yes Yes Yes   Yes      
Action   No   Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   34 36 36 37 37 37 37 37 37 37 37
Closed Lower   12 20 14 19 16 12 18 23 17 25 18
Penetrated Low   10 10 10 13 10 12 12 17 14 20 11
Scenario Percentage   83% 50% 71% 68% 63% 100% 67% 74% 82% 80% 61%
Avg Max Decline   2.06% 2.56% 2.91% 2.15% 4.63% 1.70% 2.50% 2.38% 2.26% 2.34% 1.45%
Max Decline   5.05% 4.42% 8.04% 5.52% 17.72% 3.91% 7.78% 4.78% 4.53% 5.91% 2.82%
Avg Days To Max Decline   14 18 19 17 18 16 17 19 16 11 10
Avg Max Increase   -0.34% -0.25% -1.26% -0.24% -0.76% -0.64% -0.84% -0.50% -0.59% -0.43% -0.18%
Max Increase   -1.75% -1.16% -4.75% -1.56% -3.43% -1.89% -4.44% -2.60% -1.37% -1.49% -0.52%
Avg Days to Max Increase   3 6 10 6 11 8 7 8 10 4 2
2013 Contract Condition     Yes         Yes   Yes Yes Yes
Action     Yes         Yes   Yes Yes Yes
High 100.55 101.01 100.75 97.82 99.28 101.10 103.20 102.30 100.95 101.58 101.75 100.59
Low 98.90 98.79 96.00 95.36 97.15 98.69 100.35 99.48 99.19 100.11 98.89 96.91
Close/Last 99.46 100.38 96.27 97.82 99.19 100.98 101.27 99.67 100.46 100.37 100.15 97.03

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