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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 21, 2022
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   33 35 35 35 35 36 36 36 36 36 36
Closed Higher   16 16 16 15 20 13 20 18 19 11 22
Exceeded High   10 10 14 13 14 12 15 17 15 9 14
Scenario Percentage   63% 63% 88% 87% 70% 92% 75% 94% 79% 82% 64%
Avg Max Increase   3.19% 3.65% 3.64% 2.54% 2.89% 3.26% 3.52% 3.47% 3.54% 3.29% 1.42%
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 16 16 14 18 18 20 15 8
Avg Max Decline   -0.38% -0.87% -0.64% -0.52% -1.17% -0.62% -1.48% -0.71% -1.18% -0.68% -0.61%
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 11 12 14 6 4
2021 Contract Condition       Yes Yes     Yes Yes Yes    
Action       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   33 35 35 35 35 36 36 36 36 36 36
Closed Lower   17 19 19 20 15 23 16 18 17 25 14
Penetrated Low   15 14 17 14 12 18 13 13 16 20 8
Scenario Percentage   88% 74% 89% 70% 80% 78% 81% 72% 94% 80% 57%
Avg Max Decline   2.39% 3.51% 3.35% 3.87% 4.41% 2.66% 3.10% 3.73% 3.73% 2.38% 1.59%
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   22 18 21 21 17 13 19 22 13 8 8
Avg Max Increase   -1.19% -0.51% -0.77% -0.33% -0.51% -0.91% -1.15% -1.20% -1.30% -0.67% -0.43%
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 2
2021 Contract Condition   Yes Yes     Yes Yes       Yes Yes
Action   Yes No     Yes Yes       Yes Not Yet
High 97.698 97.278 93.585 94.588 94.080 94.085 91.265 90.910 91.570 93.470 93.365 91.435
Low 96.728 92.985 92.155 92.380 92.545 91.500 89.500 89.155 89.655 90.620 90.395 89.515
Close/Last 97.335 93.300 92.155 93.838 93.987 91.773 89.860 90.540 90.862 93.235 91.270 89.993

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