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