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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 Apr 02, 2020
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   32 32 34 34 34 34 34 34 34 34 34
Closed Higher   15 19 14 18 16 17 11 22 14 17 16
Exceeded High   12 12 12 13 15 15 10 20 13 12 9
Scenario Percentage   80% 63% 86% 72% 94% 88% 91% 91% 93% 71% 56%
Avg Max Increase   2.83% 3.32% 3.38% 3.09% 3.20% 3.49% 3.75% 2.33% 2.79% 2.80% 2.29%
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   19 17 14 19 18 20 21 14 13 11 10
Avg Max Decline   -0.55% -0.92% -0.64% -1.32% -0.41% -1.07% -0.67% -1.53% -0.57% -0.66% -0.44%
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 12 5 7 14 14 7 11 6 4 3
2019 Contract Condition   Yes Yes     Yes Yes Yes Yes   Yes Yes
Action   Yes Yes     Yes Yes 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   32 32 34 34 34 34 34 34 34 34 34
Closed Lower   17 13 20 16 18 17 23 12 20 17 18
Penetrated Low   11 10 16 13 13 15 17 10 17 15 12
Scenario Percentage   65% 77% 80% 81% 72% 88% 74% 83% 85% 88% 67%
Avg Max Decline   3.90% 4.17% 2.69% 3.01% 3.64% 3.88% 3.16% 3.79% 3.30% 2.09% 2.25%
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 14 17 21 14 13 20 17 11 8
Avg Max Increase   -0.21% -0.64% -0.89% -0.94% -1.09% -1.02% -0.80% -0.92% -0.98% -1.13% -0.23%
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 8 8 11 7 6 6 8 6 2
2019 Contract Condition       Yes Yes         Yes    
Action       Yes No         No    
High 93.148 95.320 95.718 96.020 95.420 95.907 96.665 97.500 97.715 97.265 98.445 98.970
Low 91.920 93.120 93.910 94.735 93.785 94.315 94.695 95.840 96.300 95.365 95.775 96.980
Close/Last 93.148 95.255 95.565 94.735 94.330 95.052 96.330 96.660 97.135 95.665 98.258 98.860

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