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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, 2015
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   27 27 29 29 29 29 29 29 29 29 29
Closed Higher   10 15 12 16 12 15 9 18 12 15 13
Exceeded High   8 9 10 12 11 14 8 16 11 10 8
Scenario Percentage   80% 60% 83% 75% 92% 93% 89% 89% 92% 67% 62%
Avg Max Increase   2.49% 3.13% 3.29% 2.88% 3.37% 3.63% 3.99% 2.53% 2.92% 3.12% 2.42%
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 20 19 12 11 12 10
Avg Max Decline   -0.35% -0.84% -0.86% -1.29% -0.37% -1.11% -0.80% -1.30% -0.51% -0.64% -0.29%
Max Decline   -1.29% -2.09% -3.13% -2.62% -1.12% -3.11% -1.58% -3.65% -1.20% -1.51% -1.37%
Avg Days to Max Decline   8 13 5 8 14 14 7 9 6 4 2
2014 Contract Condition     Yes   Yes   Yes   Yes   Yes Yes
Action     No   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   27 27 29 29 29 29 29 29 29 29 29
Closed Lower   17 12 17 13 17 14 20 11 17 14 16
Penetrated Low   11 9 13 11 12 13 14 9 15 13 11
Scenario Percentage   65% 75% 76% 85% 71% 93% 70% 82% 88% 93% 69%
Avg Max Decline   3.90% 4.09% 2.66% 3.40% 3.50% 3.98% 3.36% 3.75% 3.25% 2.15% 2.20%
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 15 17 21 15 13 19 16 10 7
Avg Max Increase   -0.21% -0.59% -0.92% -0.72% -1.15% -1.05% -0.68% -0.92% -0.86% -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 8 6 11 7 4 5 6 6 2
2014 Contract Condition   Yes   Yes   Yes   Yes   Yes    
Action   No   Yes   Yes   Yes   Yes    
High 81.925 81.150 82.000 81.475 81.763 81.593 80.595 80.880 80.745 81.170 81.660 82.790
Low 80.877 79.825 81.000 80.362 80.865 80.045 79.595 79.545 79.055 79.800 79.770 81.265
Close/Last 80.877 80.843 81.185 80.520 81.763 80.045 80.418 79.668 80.517 79.810 81.523 82.782

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