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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September US Dollar Index(ICE) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   26 26 28 28 28 28 28 28 28 28 28
Closed Higher   10 14 12 15 12 14 9 17 12 14 12
Exceeded High   8 9 10 12 11 13 8 15 11 9 7
Scenario Percentage   80% 64% 83% 80% 92% 93% 89% 88% 92% 64% 58%
Avg Max Increase   2.49% 3.13% 3.29% 2.88% 3.37% 3.87% 3.99% 2.60% 2.92% 3.09% 2.58%
Max Increase   5.41% 6.14% 8.79% 6.46% 11.65% 7.77% 8.45% 8.42% 6.58% 9.50% 5.01%
Avg Days To Max Increase   17 18 14 20 18 21 19 11 11 12 11
Avg Max Decline   -0.35% -0.84% -0.86% -1.29% -0.37% -1.18% -0.80% -1.33% -0.51% -0.68% -0.53%
Max Decline   -1.29% -2.09% -3.13% -2.62% -1.12% -3.11% -1.58% -3.65% -1.20% -1.51% -1.50%
Avg Days to Max Decline   8 13 5 8 14 15 7 8 6 4 4
2013 Contract Condition   Yes Yes     Yes Yes   Yes     Yes
Action   Yes No     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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   26 26 28 28 28 28 28 28 28 28 28
Closed Lower   16 12 16 13 16 14 19 11 16 14 16
Penetrated Low   11 9 12 11 11 13 13 9 14 13 11
Scenario Percentage   69% 75% 75% 85% 69% 93% 68% 82% 88% 93% 69%
Avg Max Decline   3.90% 4.09% 2.83% 3.40% 3.76% 3.98% 3.56% 3.75% 3.48% 2.15% 2.29%
Max Decline   9.09% 7.55% 7.67% 6.83% 6.82% 7.71% 8.54% 8.15% 7.14% 5.04% 4.13%
Avg Days To Max Decline   21 17 14 17 22 15 13 19 17 10 8
Avg Max Increase   -0.21% -0.59% -0.87% -0.72% -1.16% -1.05% -0.70% -0.92% -0.91% -1.12% -0.22%
Max Increase   -1.30% -1.90% -2.49% -2.47% -5.25% -3.06% -3.44% -2.64% -3.40% -3.11% -1.21%
Avg Days to Max Increase   5 4 6 6 9 7 5 5 6 6 2
2013 Contract Condition       Yes Yes     Yes   Yes Yes  
Action       Yes Yes     Yes   No Yes  
High 80.665 81.017 82.000 80.993 81.008 82.388 83.675 83.750 84.835 83.670 84.965 82.610
Low 79.763 79.700 80.830 79.590 79.590 79.465 82.295 81.880 81.510 80.615 81.480 80.770
Close/Last 80.665 80.677 80.843 80.130 79.590 82.388 83.375 82.010 83.670 83.375 81.540 82.142

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