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