MRCI's ScenarioSM Study

ScenarioSM Study for March Canadian Dollar(CME) as of Jan 01, 2015
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		35	37	37	38	38	38	38	38	38	38	38
Closed Higher		23	16	22	19	21	26	18	14	21	12	20
Exceeded High		19	9	16	13	18	18	12	13	18	11	13
Scenario Percentage		83%	56%	73%	68%	86%	69%	67%	93%	86%	92%	65%
Avg Max Increase		2.45%	2.30%	2.02%	2.83%	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		19	19	22	19	17	16	15	19	18	9	9
Avg Max Decline		-0.58%	-1.33%	-0.52%	-0.66%	-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		8	13	10	10	5	9	5	15	9	7	2
2014 Contract Condition		Yes			Yes		Yes			Yes		Yes
Action		Yes			Yes		No			No		Not Yet

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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		35	37	37	38	38	38	38	38	38	38	38
Closed Lower		12	21	15	19	17	12	19	24	17	26	18
Penetrated Low		10	11	11	13	10	12	13	18	14	20	11
Scenario Percentage		83%	52%	73%	68%	59%	100%	68%	75%	82%	77%	61%
Avg Max Decline		2.06%	2.53%	2.74%	2.15%	4.63%	1.70%	2.52%	2.53%	2.26%	2.34%	1.45%
Max Decline		5.05%	4.42%	8.04%	5.52%	17.72%	3.91%	7.78%	5.19%	4.53%	5.91%	2.82%
Avg Days To Max Decline		14	16	17	17	18	16	17	19	16	11	10
Avg Max Increase		-0.34%	-0.42%	-1.15%	-0.24%	-0.76%	-0.64%	-0.79%	-0.51%	-0.59%	-0.43%	-0.18%
Max Increase		-1.75%	-2.06%	-4.75%	-1.56%	-3.43%	-1.89%	-4.44%	-2.60%	-1.37%	-1.49%	-0.52%
Avg Days to Max Increase		3	7	9	6	11	8	7	8	10	4	2
2014 Contract Condition			Yes	Yes		Yes		Yes	Yes		Yes
Action			Yes	Yes		No		Yes	Yes		Not Yet
High	97.78	98.54	99.01	97.77	97.00	97.00	97.75	97.00	95.83	94.46	94.28	91.60
Low	96.19	96.66	95.52	94.19	93.60	94.20	94.34	94.96	93.85	92.93	88.99	89.27
Close/Last	97.63	98.53	95.80	94.64	97.00	94.50	96.65	95.64	93.86	93.92	89.78	90.34