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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Canadian Dollar(CME) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   36 39 40 41 42 42 42 42 42 42 42
Closed Higher   16 16 20 14 20 24 28 19 27 20 21
Exceeded High   10 15 19 12 19 20 23 13 18 14 15
Scenario Percentage   63% 94% 95% 86% 95% 83% 82% 68% 67% 70% 71%
Avg Max Increase   2.29% 2.25% 2.01% 2.02% 3.00% 3.31% 2.31% 2.77% 2.18% 2.22% 1.20%
Max Increase   4.18% 5.00% 5.24% 4.27% 8.23% 15.45% 10.55% 8.67% 4.38% 4.25% 2.93%
Avg Days To Max Increase   18 19 15 13 21 14 16 17 21 13 9
Avg Max Decline   -0.43% -0.87% -0.68% -0.59% -0.99% -0.63% -0.63% -1.17% -0.53% -0.50% -0.37%
Max Decline   -2.20% -3.09% -4.64% -1.99% -3.50% -1.84% -2.37% -6.76% -1.71% -2.58% -0.87%
Avg Days to Max Decline   5 15 10 9 10 6 6 11 9 6 4
2018 Contract Condition     Yes Yes Yes     Yes     Yes  
Action     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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   36 39 40 41 42 42 42 42 42 42 42
Closed Lower   20 23 19 27 22 18 14 23 15 22 21
Penetrated Low   14 17 14 21 15 12 13 16 10 15 10
Scenario Percentage   70% 74% 74% 78% 68% 67% 93% 70% 67% 68% 48%
Avg Max Decline   2.48% 3.49% 3.05% 2.48% 2.35% 1.66% 1.88% 2.32% 3.13% 2.01% 1.38%
Max Decline   7.57% 9.93% 8.67% 6.31% 4.29% 4.39% 6.16% 4.91% 7.59% 5.39% 2.44%
Avg Days To Max Decline   18 21 16 14 16 14 15 18 17 13 11
Avg Max Increase   -0.68% -0.40% -0.32% -0.52% -0.46% -0.43% -0.43% -0.80% -0.76% -0.37% -0.50%
Max Increase   -4.24% -2.44% -1.43% -2.62% -2.63% -1.78% -1.78% -3.76% -2.06% -1.77% -2.30%
Avg Days to Max Increase   9 7 9 5 9 7 4 9 7 7 3
2018 Contract Condition   Yes       Yes Yes   Yes Yes   Yes
Action   No       Yes No   Yes No   Yes
High 82.77 80.46 79.15 80.06 81.68 81.70 78.39 80.00 78.75 77.95 77.10 77.63
Low 79.97 77.68 77.79 77.83 79.70 78.23 76.50 77.50 76.85 74.81 75.31 75.94
Close/Last 80.27 77.76 77.79 80.02 81.48 78.23 77.76 78.09 77.37 76.16 77.00 76.65

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