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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 Dec 07, 2022
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   40 43 44 45 45 45 45 45 45 45 45
Closed Higher   18 17 23 15 22 26 29 21 29 22 22
Exceeded High   11 16 21 13 21 22 24 16 20 16 16
Scenario Percentage   61% 94% 91% 87% 95% 85% 83% 76% 69% 73% 73%
Avg Max Increase   2.23% 2.28% 2.00% 1.90% 2.99% 3.25% 2.48% 2.57% 2.20% 2.21% 1.19%
Max Increase   4.18% 5.00% 5.24% 4.27% 8.23% 15.45% 10.55% 8.67% 4.38% 4.80% 3.29%
Avg Days To Max Increase   19 19 16 12 21 14 15 15 21 13 9
Avg Max Decline   -0.49% -0.82% -0.72% -0.55% -0.98% -0.62% -0.69% -0.98% -0.53% -0.55% -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   6 14 11 8 10 7 5 9 9 6 3
2022 Contract Condition   Yes   Yes   Yes Yes   Yes   Yes  
Action   No   Yes   Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   40 43 44 45 45 45 45 45 45 45 45
Closed Lower   22 26 20 30 23 19 16 24 16 23 23
Penetrated Low   15 19 14 23 16 13 15 16 11 16 12
Scenario Percentage   68% 73% 70% 77% 70% 68% 94% 67% 69% 70% 52%
Avg Max Decline   2.55% 3.33% 3.05% 2.75% 2.82% 1.66% 1.84% 2.32% 3.30% 2.18% 1.38%
Max Decline   7.57% 9.93% 8.67% 9.66% 8.46% 4.39% 6.16% 4.91% 7.59% 5.39% 2.44%
Avg Days To Max Decline   19 22 16 14 17 15 16 18 17 14 11
Avg Max Increase   -0.68% -0.47% -0.32% -0.52% -0.43% -0.44% -0.55% -0.80% -0.78% -0.38% -0.53%
Max Increase   -4.24% -2.44% -1.43% -2.62% -2.63% -1.78% -2.52% -3.76% -2.06% -1.77% -2.30%
Avg Days to Max Increase   9 7 9 7 8 8 7 9 6 7 4
2022 Contract Condition     Yes   Yes     Yes   Yes   Yes
Action     Yes   Yes     Yes   Yes   Yes
High 79.87 81.02 80.57 79.03 80.14 79.11 80.39 80.57 79.14 79.84 78.18 78.55
Low 77.58 78.47 77.85 77.08 77.91 77.63 77.55 77.60 76.46 76.46 75.61 76.08
Close/Last 78.88 80.53 78.06 78.92 78.67 78.81 80.07 77.88 79.05 77.70 78.04 76.19

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