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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 Oct 29, 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% 1.02%
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 9
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
2021 Contract Condition     Yes Yes Yes Yes         Yes  
Action     Yes Yes 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   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% 2.13% 1.32%
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 9
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
2021 Contract Condition   Yes         Yes Yes Yes Yes    
Action   No         Yes Yes No Not Yet    
High 78.91 79.42 80.15 80.84 81.51 83.23 83.24 81.27 80.28 80.09 81.37  
Low 77.11 77.76 77.78 78.54 79.06 80.98 80.09 78.08 77.23 77.54 78.49  
Close/Last 78.36 78.13 78.66 79.58 81.45 82.72 80.62 80.12 79.31 78.99 80.81  

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