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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, 2016
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   35 38 38 39 39 39 39 39 39 39 39
Closed Higher   12 18 21 26 18 23 19 21 25 17 15
Exceeded High   11 17 17 21 12 16 14 17 17 13 11
Scenario Percentage   92% 94% 81% 81% 67% 70% 74% 81% 68% 76% 73%
Avg Max Increase   2.18% 2.59% 3.45% 2.47% 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 18 17 20 20 20 15 12 10
Avg Max Decline   -0.61% -1.05% -0.43% -0.56% -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 7 10 9 9 5 9 3 3
2015 Contract Condition     Yes   Yes           Yes  
Action     Yes   Yes           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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   35 38 38 39 39 39 39 39 39 39 39
Closed Lower   22 20 17 12 20 15 20 18 13 21 24
Penetrated Low   17 14 12 10 11 11 14 11 12 15 18
Scenario Percentage   77% 70% 71% 83% 55% 73% 70% 61% 92% 71% 75%
Avg Max Decline   2.62% 2.21% 1.70% 2.14% 2.82% 2.89% 2.29% 4.51% 1.83% 2.21% 1.38%
Max Decline   6.46% 4.65% 4.22% 5.89% 4.85% 7.77% 5.50% 18.14% 3.86% 7.72% 4.70%
Avg Days To Max Decline   14 14 14 14 18 18 19 19 14 10 10
Avg Max Increase   -0.63% -0.40% -0.33% -0.38% -0.63% -1.15% -0.45% -0.97% -0.70% -0.67% -0.29%
Max Increase   -2.53% -2.64% -1.68% -1.79% -2.51% -5.02% -1.74% -3.56% -1.49% -4.79% -1.10%
Avg Days to Max Increase   5 6 8 3 9 9 9 15 7 5 2
2015 Contract Condition   Yes   Yes   Yes Yes Yes Yes Yes   Yes
Action   Yes   No   Yes Yes Yes Yes No   Yes
High 87.59 85.00 80.65 80.40 83.42 83.64 82.16 79.93 77.16 76.83 77.91 76.68
Low 85.06 78.09 78.21 77.80 79.02 79.62 79.44 76.26 74.87 74.28 75.00 74.41
Close/Last 85.49 78.66 79.69 78.79 82.49 80.15 79.91 76.33 75.87 74.88 76.45 74.87

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