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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 Dec 27, 2023
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   35 37 37 37 37 38 38 38 38 38 38
Closed Higher   17 18 18 15 21 13 21 20 20 12 23
Exceeded High   11 12 15 13 15 12 16 19 16 10 15
Scenario Percentage   65% 67% 83% 87% 71% 92% 76% 95% 80% 83% 65%
Avg Max Increase   3.63% 3.65% 3.59% 2.54% 2.79% 3.26% 3.50% 3.56% 3.75% 3.25% 1.56%
Max Increase   9.23% 13.23% 12.46% 5.46% 8.65% 8.79% 7.35% 11.75% 7.79% 8.31% 3.56%
Avg Days To Max Increase   17 21 16 16 17 14 18 18 20 15 10
Avg Max Decline   -0.43% -0.83% -0.66% -0.52% -1.18% -0.62% -1.48% -0.68% -1.10% -0.67% -0.65%
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   4 9 8 7 15 5 11 10 13 6 5
2023 Contract Condition   Yes Yes Yes         Yes     Yes
Action   Yes Yes No         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   35 37 37 37 37 38 38 38 38 38 38
Closed Lower   18 19 19 22 16 25 17 18 18 26 15
Penetrated Low   15 14 17 15 13 20 14 13 17 20 9
Scenario Percentage   83% 74% 89% 68% 81% 80% 82% 72% 94% 77% 60%
Avg Max Decline   2.39% 3.51% 3.35% 4.10% 4.38% 2.57% 2.97% 3.73% 3.61% 2.42% 1.58%
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 20 17 13 18 22 13 9 11
Avg Max Increase   -1.19% -0.51% -0.77% -0.38% -0.46% -0.96% -1.08% -1.20% -1.25% -0.67% -0.50%
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 6 8 12 8 5 3
2023 Contract Condition         Yes Yes Yes Yes   Yes Yes  
Action         Yes Yes Yes Yes   Yes Not Yet  
High 104.223 107.333 108.040 113.318 112.500 112.005 105.060 105.025 104.940 105.490 102.745 104.615
Low 102.403 103.705 103.925 107.000 108.893 105.140 102.630 100.935 100.345 101.555 100.420 100.520
Close/Last 103.285 104.875 107.680 111.465 110.740 105.208 102.895 101.595 104.475 102.185 101.403 104.245

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