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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, 2016
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   28 28 30 30 30 30 30 30 30 30 30
Closed Higher   11 16 13 17 13 16 9 19 12 16 13
Exceeded High   9 10 11 13 12 14 8 17 11 11 8
Scenario Percentage   82% 63% 85% 76% 92% 88% 89% 89% 92% 69% 62%
Avg Max Increase   2.68% 3.71% 3.55% 3.09% 3.56% 3.63% 3.99% 2.43% 2.92% 2.92% 2.41%
Max Increase   5.41% 8.94% 8.79% 6.46% 11.65% 7.77% 8.45% 8.42% 6.58% 9.50% 5.01%
Avg Days To Max Increase   19 19 15 19 18 20 19 12 11 11 10
Avg Max Decline   -0.30% -0.83% -0.73% -1.32% -0.35% -1.11% -0.80% -1.47% -0.51% -0.60% -0.29%
Max Decline   -1.29% -2.09% -3.13% -2.62% -1.12% -3.11% -1.58% -4.18% -1.20% -1.51% -1.37%
Avg Days to Max Decline   8 13 5 7 13 14 7 10 6 4 2
2015 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes   Yes  
Action   Yes Yes Yes Yes Yes No   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   28 28 30 30 30 30 30 30 30 30 30
Closed Lower   17 12 17 13 17 14 21 11 18 14 17
Penetrated Low   11 9 13 11 12 13 15 9 16 13 11
Scenario Percentage   65% 75% 76% 85% 71% 93% 71% 82% 89% 93% 65%
Avg Max Decline   3.90% 4.09% 2.66% 3.40% 3.50% 3.98% 3.26% 3.75% 3.25% 2.15% 2.14%
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% -0.86% -0.92% -0.98% -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 6 5 8 6 2
2015 Contract Condition               Yes   Yes   Yes
Action               Yes   Yes   Not Yet
High 86.720 87.670 89.105 91.280 96.920 96.520 101.615 100.715 98.290 98.165 98.310 98.425
Low 84.505 85.145 87.660 88.385 91.800 94.600 95.580 94.830 93.440 93.300 95.555 92.520
Close/Last 86.470 87.570 88.970 91.280 96.190 96.210 99.165 95.093 97.370 95.660 97.440 95.855

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