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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 06, 2024
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   43 44 45 45 45 45 45 45 45 45 45
Closed Higher   22 22 27 21 18 25 16 21 26 27 20
Exceeded High   17 17 17 13 16 20 13 19 20 21 12
Scenario Percentage   77% 77% 63% 62% 89% 80% 81% 90% 77% 78% 60%
Avg Max Increase   2.33% 2.82% 2.82% 2.19% 2.16% 2.10% 1.86% 3.05% 3.53% 2.40% 1.52%
Max Increase   5.50% 11.46% 9.39% 4.29% 4.34% 4.98% 4.31% 8.25% 15.65% 10.60% 3.51%
Avg Days To Max Increase   18 19 15 18 20 19 13 21 16 10 8
Avg Max Decline   -0.75% -0.43% -0.40% -0.61% -0.93% -0.84% -0.65% -1.13% -0.62% -0.67% -0.36%
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   7 5 8 6 16 12 7 10 8 5 2
2024 Contract Condition   Yes       Yes Yes     Yes   Yes
Action   No       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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   43 44 45 45 45 45 45 45 45 45 45
Closed Lower   21 22 18 23 27 20 29 23 18 18 25
Penetrated Low   15 15 15 16 20 14 22 18 13 15 12
Scenario Percentage   71% 68% 83% 70% 74% 70% 76% 78% 72% 83% 48%
Avg Max Decline   2.11% 3.80% 1.65% 2.44% 3.27% 3.00% 2.78% 2.51% 1.52% 1.74% 1.17%
Max Decline   5.49% 17.67% 3.99% 7.59% 10.34% 9.06% 9.76% 8.59% 4.44% 6.31% 1.96%
Avg Days To Max Decline   18 19 15 17 21 17 13 16 15 15 7
Avg Max Increase   -0.46% -1.03% -0.78% -0.69% -0.59% -0.51% -0.64% -0.53% -0.55% -0.50% -0.17%
Max Increase   -2.16% -3.36% -2.40% -4.26% -2.62% -1.38% -2.57% -2.84% -1.82% -1.86% -0.75%
Avg Days to Max Increase   9 11 8 7 6 9 7 7 10 6 2
2024 Contract Condition     Yes Yes Yes     Yes Yes   Yes  
Action     Yes Yes Yes     Yes Yes   Not Yet  
High 76.48 76.64 75.58 74.93 73.92 74.07 76.06 75.75 74.92 74.62 74.28 73.63
Low 74.63 75.08 73.63 73.34 72.28 72.26 73.67 73.98 73.62 73.54 72.29 72.61
Close/Last 75.91 76.16 74.23 74.01 72.39 73.94 75.70 74.73 73.77 73.94 72.73 73.39

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