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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, 2019
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   31 31 33 33 33 33 33 33 33 33 33
Closed Higher   14 18 14 18 15 16 10 21 14 16 15
Exceeded High   11 11 12 13 14 14 9 19 13 11 8
Scenario Percentage   79% 61% 86% 72% 93% 88% 90% 90% 93% 69% 53%
Avg Max Increase   3.02% 3.57% 3.38% 3.09% 3.25% 3.63% 4.05% 2.38% 2.79% 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 20 13 13 12 11
Avg Max Decline   -0.47% -0.93% -0.64% -1.32% -0.42% -1.11% -0.70% -1.52% -0.57% -0.60% -0.47%
Max Decline   -2.39% -2.09% -3.13% -2.62% -1.77% -3.11% -1.58% -4.18% -1.20% -1.51% -1.50%
Avg Days to Max Decline   7 13 5 7 13 14 6 10 6 4 4
2018 Contract Condition   Yes       Yes   Yes Yes Yes   Yes
Action   No       Yes   Yes Yes Yes   Not Yet
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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   31 31 33 33 33 33 33 33 33 33 33
Closed Lower   17 13 19 15 18 17 23 12 19 17 18
Penetrated Low   11 10 15 13 13 15 17 10 17 15 13
Scenario Percentage   65% 77% 79% 87% 72% 88% 74% 83% 89% 88% 72%
Avg Max Decline   3.90% 4.17% 2.80% 3.01% 3.64% 3.88% 3.16% 3.79% 3.30% 2.11% 2.32%
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 18 15 17 21 14 13 20 17 11 9
Avg Max Increase   -0.21% -0.64% -0.91% -0.94% -1.09% -1.02% -0.80% -0.92% -0.98% -1.13% -0.21%
Max Increase   -1.30% -1.90% -2.49% -2.74% -5.25% -3.06% -3.44% -2.64% -3.40% -3.11% -1.21%
Avg Days to Max Increase   5 4 9 8 11 7 6 6 8 6 1
2018 Contract Condition     Yes Yes Yes   Yes       Yes  
Action     Yes Yes Yes   No       Not Yet  
High 92.480 94.170 94.050 93.105 91.630 89.800 90.050 91.270 94.500 95.255 95.440 96.865
Low 91.710 91.900 91.590 91.200 87.635 87.455 88.190 88.515 91.215 92.760 93.440 94.290
Close/Last 92.183 93.655 92.133 91.200 88.290 89.775 89.392 91.180 93.515 94.350 94.275 95.082

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