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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 Nov 09, 2020
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   32 34 34 34 34 35 35 35 35 35 35
Closed Higher   16 16 15 14 20 13 19 17 18 11 22
Exceeded High   10 10 14 12 14 12 14 16 15 9 14
Scenario Percentage   63% 63% 93% 86% 70% 92% 74% 94% 83% 82% 64%
Avg Max Increase   3.19% 3.65% 3.64% 2.74% 2.89% 3.26% 3.54% 3.51% 3.54% 3.34% 1.46%
Max Increase   9.23% 13.23% 12.46% 5.46% 8.65% 8.79% 7.35% 11.75% 7.79% 8.31% 3.26%
Avg Days To Max Increase   17 22 15 17 16 14 17 17 20 17 9
Avg Max Decline   -0.38% -0.87% -0.64% -0.57% -1.17% -0.62% -1.52% -0.74% -1.18% -0.68% -0.64%
Max Decline   -1.21% -2.26% -2.60% -2.54% -2.70% -3.15% -2.98% -3.33% -3.17% -1.69% -2.01%
Avg Days to Max Decline   3 9 7 7 12 5 10 12 14 6 4
2020 Contract Condition   Yes Yes Yes   Yes   Yes Yes Yes    
Action   Yes Yes No   Yes   Yes Yes No    
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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   32 34 34 34 34 35 35 35 35 35 35
Closed Lower   16 18 19 20 14 22 16 18 17 24 13
Penetrated Low   14 14 17 14 11 17 13 13 16 19 8
Scenario Percentage   88% 78% 89% 70% 79% 77% 81% 72% 94% 79% 62%
Avg Max Decline   2.48% 3.51% 3.35% 3.87% 4.55% 2.77% 3.10% 3.73% 3.73% 2.42% 1.65%
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 21 18 14 19 22 13 8 10
Avg Max Increase   -1.25% -0.51% -0.77% -0.33% -0.60% -0.96% -1.15% -1.20% -1.30% -0.70% -0.45%
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 8 4 7 8 12 8 5 3
2020 Contract Condition         Yes   Yes       Yes Yes
Action         Yes   No       Yes Yes
High 95.925 96.838 97.633 98.195 98.065 97.520 97.470 97.555 99.440 103.960 101.030 100.605
Low 94.373 95.030 96.017 96.930 96.243 96.282 95.688 95.780 96.885 94.530 98.815 97.935
Close/Last 94.455 96.838 97.633 98.195 96.385 97.407 95.688 96.843 97.785 99.093 99.028 98.340

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