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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, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   30 32 32 32 32 33 33 33 33 33 33
Closed Higher   15 14 13 13 18 13 18 15 16 10 21
Exceeded High   9 8 13 11 12 12 13 14 14 8 15
Scenario Percentage   60% 57% 100% 85% 67% 92% 72% 93% 88% 80% 71%
Avg Max Increase   3.39% 4.21% 3.71% 2.91% 3.31% 3.26% 3.25% 3.37% 3.69% 3.67% 1.54%
Max Increase   9.23% 13.23% 12.46% 5.46% 8.65% 8.79% 6.44% 11.75% 7.79% 8.31% 3.39%
Avg Days To Max Increase   15 20 16 18 16 14 17 16 20 14 9
Avg Max Decline   -0.33% -0.83% -0.68% -0.52% -1.15% -0.62% -1.45% -0.58% -1.22% -0.72% -0.65%
Max Decline   -1.21% -2.26% -2.60% -2.54% -2.70% -3.15% -2.98% -1.80% -3.17% -1.69% -2.01%
Avg Days to Max Decline   2 7 6 7 11 5 7 12 14 5 5
2018 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 Feb Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   30 32 32 32 32 33 33 33 33 33 33
Closed Lower   15 18 19 19 14 20 15 18 17 23 12
Penetrated Low   14 14 17 13 11 16 13 13 16 18 7
Scenario Percentage   93% 78% 89% 68% 79% 80% 87% 72% 94% 78% 58%
Avg Max Decline   2.48% 3.51% 3.35% 4.11% 4.55% 2.87% 3.10% 3.73% 3.73% 2.40% 1.57%
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 18 14 19 22 13 8 11
Avg Max Increase   -1.25% -0.51% -0.77% -0.26% -0.60% -0.97% -1.15% -1.20% -1.30% -0.65% -0.52%
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 5 10 6 4 7 8 12 8 4 3
2018 Contract Condition     Yes     Yes Yes Yes   Yes    
Action     Yes     Yes Yes Yes   No    
High   94.180 93.100 92.950 94.360 94.420 93.480 92.020 90.250 90.490 91.790 94.975
Low   92.097 91.000 90.475 92.100 92.000 91.495 87.935 87.830 88.530 88.945 91.595
Close/Last   92.097 91.953 92.373 93.880 92.403 91.500 88.635 90.155 89.813 91.630 93.960

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