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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 May 10, 2021
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   40 43 43 44 44 44 44 44 44 44 44
Closed Higher   15 19 23 29 20 27 22 22 29 18 16
Exceeded High   13 18 19 23 14 19 17 18 19 13 12
Scenario Percentage   87% 95% 83% 79% 70% 70% 77% 82% 66% 72% 75%
Avg Max Increase   1.90% 2.90% 3.32% 2.47% 2.77% 2.21% 2.56% 2.77% 2.73% 1.74% 1.08%
Max Increase   3.89% 8.09% 15.26% 10.44% 8.57% 4.35% 5.79% 11.76% 9.64% 4.47% 2.00%
Avg Days To Max Increase   11 20 14 17 17 21 18 19 15 12 10
Avg Max Decline   -0.50% -1.00% -0.54% -0.65% -1.06% -0.51% -0.86% -0.57% -0.57% -0.45% -0.23%
Max Decline   -1.96% -3.40% -1.76% -1.91% -6.74% -1.77% -3.04% -2.54% -2.56% -2.18% -0.72%
Avg Days to Max Decline   7 11 6 7 9 9 10 5 8 3 2
2020 Contract Condition         Yes Yes Yes Yes Yes     Yes
Action         Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   40 43 43 44 44 44 44 44 44 44 44
Closed Lower   24 24 20 14 23 16 22 22 14 25 28
Penetrated Low   18 18 13 12 13 11 16 15 12 17 19
Scenario Percentage   75% 75% 65% 86% 57% 69% 73% 68% 86% 68% 68%
Avg Max Decline   3.00% 2.61% 1.70% 1.96% 2.70% 2.89% 2.21% 3.80% 1.83% 2.14% 1.37%
Max Decline   9.54% 8.30% 4.22% 5.89% 4.85% 7.77% 5.50% 18.14% 3.86% 7.72% 4.70%
Avg Days To Max Decline   14 16 15 15 19 18 18 18 14 10 10
Avg Max Increase   -0.61% -0.34% -0.35% -0.35% -0.88% -1.15% -0.54% -1.10% -0.70% -0.71% -0.33%
Max Increase   -2.53% -2.64% -1.68% -1.79% -3.74% -5.02% -2.18% -3.56% -1.49% -4.79% -1.10%
Avg Days to Max Increase   6 7 8 4 9 9 10 12 7 5 2
2020 Contract Condition   Yes Yes Yes           Yes Yes  
Action   Yes Yes No           No Not Yet  
High 77.19 77.28 75.74 74.88 72.30 72.87 75.07 75.03 76.82 76.97 76.46 77.39
Low 75.15 75.56 74.29 68.35 70.10 70.62 72.51 73.32 74.37 74.53 74.70 74.81
Close/Last 77.07 75.56 74.54 71.10 71.86 72.57 73.62 74.73 76.79 75.13 75.10 77.16

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