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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 Jun 08, 2020
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   37 40 41 42 43 43 43 43 43 43 43
Closed Higher   16 16 20 15 20 24 28 19 28 20 21
Exceeded High   10 15 19 13 19 20 23 13 19 14 15
Scenario Percentage   63% 94% 95% 87% 95% 83% 82% 68% 68% 70% 71%
Avg Max Increase   2.29% 2.25% 2.01% 1.90% 3.00% 3.31% 2.31% 2.77% 2.09% 2.22% 1.17%
Max Increase   4.18% 5.00% 5.24% 4.27% 8.23% 15.45% 10.55% 8.67% 4.38% 4.25% 2.55%
Avg Days To Max Increase   18 19 15 12 21 14 16 17 20 13 9
Avg Max Decline   -0.43% -0.87% -0.68% -0.55% -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 8 10 6 6 11 9 6 4
2019 Contract Condition         Yes         Yes    
Action         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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   37 40 41 42 43 43 43 43 43 43 43
Closed Lower   21 24 20 27 23 19 15 24 15 23 22
Penetrated Low   15 18 14 21 16 13 14 16 10 16 11
Scenario Percentage   71% 75% 70% 78% 70% 68% 93% 67% 67% 70% 50%
Avg Max Decline   2.55% 3.45% 3.05% 2.48% 2.38% 1.66% 1.84% 2.32% 3.13% 1.97% 1.29%
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   19 22 16 14 16 15 16 18 17 12 10
Avg Max Increase   -0.68% -0.43% -0.32% -0.52% -0.43% -0.44% -0.41% -0.80% -0.76% -0.36% -0.46%
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 8 8 5 9 7 7 3
2019 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes   Yes Yes
Action   Yes Yes No   Yes Yes Yes No   Yes Yes
High 77.97 78.69 76.86 76.36 76.60 76.85 76.36 75.58 75.06 76.69 76.92 75.96
Low 76.18 76.32 75.28 73.61 73.66 75.38 74.62 74.23 73.94 74.12 75.74 74.97
Close/Last 77.88 76.32 75.64 73.77 76.55 76.44 75.18 74.91 74.14 76.56 75.86 75.09

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