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