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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Canadian Dollar(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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   35 36 37 39 39 39 39 40 40 40 40
Closed Higher   17 21 23 19 15 21 12 20 23 27 16
Exceeded High   13 16 15 12 14 17 11 18 18 21 8
Scenario Percentage   76% 76% 65% 63% 93% 81% 92% 90% 78% 78% 50%
Avg Max Increase   2.49% 2.99% 3.03% 2.05% 1.96% 2.11% 2.13% 3.16% 3.63% 2.16% 1.27%
Max Increase   5.50% 11.46% 9.39% 4.29% 4.34% 4.98% 4.31% 8.25% 15.65% 10.60% 2.63%
Avg Days To Max Increase   20 21 15 15 19 19 15 22 17 10 7
Avg Max Decline   -0.54% -0.44% -0.45% -0.45% -0.93% -0.84% -0.71% -1.07% -0.61% -0.57% -0.43%
Max Decline   -2.99% -2.51% -2.55% -2.21% -3.26% -4.68% -2.02% -3.58% -1.84% -1.99% -0.83%
Avg Days to Max Decline   5 5 9 5 16 11 8 11 7 5 2
2016 Contract Condition         Yes       Yes Yes Yes  
Action         No       Yes 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   35 36 37 39 39 39 39 40 40 40 40
Closed Lower   18 15 14 19 24 18 27 19 17 13 24
Penetrated Low   12 9 13 13 19 15 21 14 13 12 13
Scenario Percentage   67% 60% 93% 68% 79% 83% 78% 74% 76% 92% 54%
Avg Max Decline   2.10% 4.63% 1.65% 2.61% 3.41% 2.94% 2.44% 2.13% 1.53% 1.81% 1.06%
Max Decline   5.49% 17.67% 3.99% 7.59% 10.34% 9.06% 6.02% 3.75% 4.44% 6.31% 1.66%
Avg Days To Max Decline   18 19 17 16 21 16 13 14 14 15 6
Avg Max Increase   -0.37% -0.78% -0.72% -0.60% -0.52% -0.48% -0.60% -0.49% -0.51% -0.50% -0.06%
Max Increase   -1.54% -3.31% -2.35% -4.26% -2.62% -1.38% -2.57% -2.84% -1.82% -1.86% -0.41%
Avg Days to Max Increase   10 12 8 5 5 9 5 5 9 5 1
2016 Contract Condition   Yes Yes Yes   Yes Yes Yes       Yes
Action   Yes Yes No   Yes Yes No       Not Yet
High 81.55 79.50 77.11 76.80 77.83 76.62 75.18 72.11 74.18 77.98 80.04 80.25
Low 79.57 76.36 74.95 74.35 75.28 74.54 71.48 68.15 70.94 73.82 75.65 75.82
Close/Last 79.86 76.36 75.88 74.83 76.41 74.88 72.36 71.39 74.03 77.07 79.74 76.15

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