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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 Oct 20, 2019
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   31 33 33 33 33 34 34 34 34 34 34
Closed Higher   15 15 14 14 19 13 18 16 17 11 22
Exceeded High   9 9 14 12 13 12 13 15 15 9 15
Scenario Percentage   60% 60% 100% 86% 68% 92% 72% 94% 88% 82% 68%
Avg Max Increase   3.39% 4.00% 3.64% 2.74% 3.10% 3.26% 3.25% 3.32% 3.54% 3.38% 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 21 15 17 15 14 17 17 20 15 9
Avg Max Decline   -0.33% -0.89% -0.64% -0.57% -1.12% -0.62% -1.45% -0.57% -1.18% -0.68% -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 9 7 7 11 5 7 12 14 6 5
2019 Contract Condition     Yes Yes Yes Yes     Yes Yes Yes Yes
Action     Yes Yes Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   31 33 33 33 33 34 34 34 34 34 34
Closed Lower   16 18 19 19 14 21 16 18 17 23 12
Penetrated Low   14 14 17 13 11 17 13 13 16 18 7
Scenario Percentage   88% 78% 89% 68% 79% 81% 81% 72% 94% 78% 58%
Avg Max Decline   2.48% 3.51% 3.35% 4.11% 4.55% 2.77% 3.10% 3.73% 3.73% 2.39% 1.56%
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% -0.96% -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
2019 Contract Condition   Yes         Yes Yes        
Action   No         Yes No        
High 93.730 93.945 95.420 94.135 95.830 96.278 96.655 96.010 96.685 97.160 98.085 98.260
Low 92.585 92.350 93.025 92.420 93.680 94.722 95.130 94.150 94.600 95.170 96.365 96.810
Close/Last 92.995 92.940 93.677 93.707 95.815 96.125 95.235 94.795 95.558 96.845 97.200 97.665

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