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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June US Dollar Index(ICE) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   30 31 31 31 31 32 32 32 32 32 32
Closed Higher   15 14 12 12 18 13 18 14 16 9 20
Exceeded High   9 8 12 10 12 12 13 13 14 7 14
Scenario Percentage   60% 57% 100% 83% 67% 92% 72% 93% 88% 78% 70%
Avg Max Increase   3.39% 4.21% 3.83% 3.14% 3.31% 3.26% 3.25% 3.49% 3.69% 3.64% 1.58%
Max Increase   9.23% 13.23% 12.46% 5.46% 8.65% 8.79% 6.44% 11.75% 7.79% 8.31% 3.56%
Avg Days To Max Increase   15 20 16 19 16 14 17 15 20 14 9
Avg Max Decline   -0.33% -0.83% -0.71% -0.56% -1.15% -0.62% -1.45% -0.49% -1.22% -0.81% -0.64%
Max Decline   -1.21% -2.26% -2.60% -2.54% -2.70% -3.15% -2.98% -1.27% -3.17% -1.69% -2.01%
Avg Days to Max Decline   2 7 6 8 11 5 7 11 14 6 4
2017 Contract Condition     Yes   Yes Yes Yes   Yes      
Action     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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   30 31 31 31 31 32 32 32 32 32 32
Closed Lower   15 17 19 19 13 19 14 18 16 23 12
Penetrated Low   14 13 17 13 10 15 12 13 16 18 8
Scenario Percentage   93% 76% 89% 68% 77% 79% 86% 72% 100% 78% 67%
Avg Max Decline   2.48% 3.66% 3.35% 4.11% 4.52% 2.80% 3.28% 3.73% 3.73% 2.40% 1.44%
Max Decline   4.87% 7.73% 7.97% 9.26% 8.25% 8.05% 7.19% 6.88% 7.73% 7.55% 2.93%
Avg Days To Max Decline   21 18 21 20 17 14 19 22 13 8 12
Avg Max Increase   -1.25% -0.54% -0.77% -0.26% -0.55% -0.99% -1.11% -1.20% -1.30% -0.65% -0.56%
Max Increase   -3.62% -2.94% -2.98% -1.64% -2.19% -2.86% -2.78% -5.46% -3.24% -3.41% -0.90%
Avg Days to Max Increase   14 6 10 6 4 7 8 12 8 4 4
2017 Contract Condition   Yes   Yes       Yes   Yes Yes Yes
Action   Yes   No       Yes   Yes Yes Yes
High 97.025 97.570 96.515 95.960 98.830 101.835 103.610 103.750 101.650 102.190 101.265 99.765
Low 93.500 95.500 94.000 94.500 95.433 95.750 99.475 99.330 99.145 98.670 98.565 96.700
Close/Last 96.358 95.530 95.873 95.230 98.243 101.370 102.255 99.425 101.050 100.218 98.898 96.855

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