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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Canadian Dollar(CME) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   34 37 37 38 38 38 38 38 38 38 38
Closed Higher   12 17 21 25 18 23 19 21 25 16 15
Exceeded High   11 16 17 20 12 16 14 17 17 13 11
Scenario Percentage   92% 94% 81% 80% 67% 70% 74% 81% 68% 81% 73%
Avg Max Increase   2.18% 2.46% 3.45% 2.52% 2.24% 2.06% 2.61% 2.92% 2.90% 1.74% 1.00%
Max Increase   3.89% 5.55% 15.26% 10.44% 4.65% 3.83% 5.79% 11.76% 9.64% 4.47% 1.95%
Avg Days To Max Increase   13 19 15 19 17 20 20 20 15 12 10
Avg Max Decline   -0.61% -0.96% -0.43% -0.55% -1.20% -0.52% -0.71% -0.57% -0.60% -0.45% -0.22%
Max Decline   -1.96% -3.40% -1.42% -1.91% -6.74% -1.77% -3.04% -2.54% -2.56% -2.18% -0.72%
Avg Days to Max Decline   9 11 6 8 10 9 9 5 9 3 3
2014 Contract Condition     Yes Yes Yes Yes Yes   Yes      
Action     Yes Yes Yes Yes Yes   No      
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   34 37 37 38 38 38 38 38 38 38 38
Closed Lower   21 20 16 12 19 14 19 17 12 21 23
Penetrated Low   16 14 12 10 10 10 13 10 12 15 17
Scenario Percentage   76% 70% 75% 83% 53% 71% 68% 59% 100% 71% 74%
Avg Max Decline   2.71% 2.21% 1.70% 2.14% 2.61% 2.55% 2.26% 4.75% 1.83% 2.26% 1.33%
Max Decline   6.46% 4.65% 4.22% 5.89% 4.34% 7.77% 5.50% 18.14% 3.86% 7.72% 4.70%
Avg Days To Max Decline   14 14 14 14 17 17 18 18 14 11 10
Avg Max Increase   -0.51% -0.40% -0.33% -0.38% -0.45% -1.26% -0.40% -0.94% -0.70% -0.67% -0.28%
Max Increase   -1.85% -2.64% -1.68% -1.79% -2.30% -5.02% -1.74% -3.56% -1.49% -4.79% -1.10%
Avg Days to Max Increase   4 6 8 3 8 10 9 14 7 5 2
2014 Contract Condition   Yes           Yes   Yes Yes Yes
Action   Yes           Yes   Yes Yes Yes
High 93.75 93.69 90.90 90.70 91.55 91.95 93.50 93.77 92.26 92.18 90.16 89.31
Low 92.50 88.60 88.78 88.31 89.98 90.51 90.85 91.20 90.70 88.97 87.69 87.12
Close/Last 93.32 89.25 89.76 89.98 90.86 91.79 93.38 91.44 91.75 89.08 88.60 87.40

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