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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, 2018
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   30 30 32 32 32 32 32 32 32 32 32
Closed Higher   13 18 14 18 14 16 9 20 13 16 14
Exceeded High   11 11 12 13 13 14 8 18 12 11 8
Scenario Percentage   85% 61% 86% 72% 93% 88% 89% 90% 92% 69% 57%
Avg Max Increase   3.02% 3.57% 3.38% 3.09% 3.37% 3.63% 3.99% 2.40% 2.80% 2.96% 2.52%
Max Increase   5.48% 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   20 17 14 19 17 20 19 13 12 12 11
Avg Max Decline   -0.47% -0.93% -0.64% -1.32% -0.31% -1.11% -0.80% -1.55% -0.54% -0.60% -0.47%
Max Decline   -2.39% -2.09% -3.13% -2.62% -1.12% -3.11% -1.58% -4.18% -1.20% -1.51% -1.50%
Avg Days to Max Decline   7 13 5 7 12 14 7 10 6 4 4
2017 Contract Condition   Yes Yes Yes   Yes            
Action   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   30 30 32 32 32 32 32 32 32 32 32
Closed Lower   17 12 18 14 18 16 23 12 19 16 18
Penetrated Low   11 9 14 12 13 15 17 10 17 15 15
Scenario Percentage   65% 75% 78% 86% 72% 94% 74% 83% 89% 94% 83%
Avg Max Decline   3.90% 4.09% 2.71% 3.18% 3.64% 3.88% 3.16% 3.79% 3.30% 2.20% 2.31%
Max Decline   9.09% 7.55% 7.67% 6.83% 6.82% 7.71% 8.54% 8.15% 7.14% 5.15% 4.13%
Avg Days To Max Decline   21 17 15 18 21 14 13 20 17 10 10
Avg Max Increase   -0.21% -0.59% -0.94% -0.88% -1.09% -1.02% -0.80% -0.92% -0.98% -1.13% -0.39%
Max Increase   -1.30% -1.90% -2.49% -2.74% -5.25% -3.06% -3.44% -2.64% -3.40% -3.11% -2.29%
Avg Days to Max Increase   5 4 9 8 11 7 6 6 8 6 2
2017 Contract Condition         Yes   Yes Yes Yes Yes Yes Yes
Action         Yes   Yes Yes Yes Yes Yes Yes
High 96.075 98.775 101.800 103.530 103.600 101.520 102.005 101.090 99.565 97.515 96.255 94.055
Low 94.970 95.358 95.800 99.370 99.280 99.000 98.515 98.410 96.500 95.225 92.635 91.550
Close/Last 95.155 98.148 101.325 102.155 99.280 100.910 100.058 98.743 96.650 95.420 92.718 92.627

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