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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 Nov 09, 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   33 33 35 35 35 35 35 35 35 35 35
Closed Higher   15 20 14 19 17 18 11 22 14 17 16
Exceeded High   12 12 12 14 16 15 10 20 13 12 9
Scenario Percentage   80% 60% 86% 74% 94% 83% 91% 91% 93% 71% 56%
Avg Max Increase   2.83% 3.32% 3.38% 3.42% 3.42% 3.49% 3.75% 2.33% 2.79% 2.77% 2.19%
Max Increase   5.48% 8.94% 8.79% 7.77% 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 9
Avg Max Decline   -0.55% -0.92% -0.64% -1.36% -0.57% -1.07% -0.67% -1.53% -0.57% -0.66% -0.28%
Max Decline   -2.39% -2.09% -3.13% -2.62% -2.93% -3.11% -1.58% -4.18% -1.20% -1.51% -1.37%
Avg Days to Max Decline   7 12 5 9 13 14 7 11 6 4 2
2020 Contract Condition     Yes   Yes Yes Yes          
Action     No   Yes Yes No          
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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   33 33 35 35 35 35 35 35 35 35 35
Closed Lower   18 13 21 16 18 17 24 13 21 18 19
Penetrated Low   12 10 16 13 13 15 18 11 18 16 13
Scenario Percentage   67% 77% 76% 81% 72% 88% 75% 85% 86% 89% 68%
Avg Max Decline   3.64% 4.17% 2.69% 3.01% 3.64% 3.88% 3.18% 3.98% 3.42% 2.07% 1.98%
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 21 18 10 7
Avg Max Increase   -0.29% -0.64% -0.89% -0.94% -1.09% -1.02% -0.85% -0.83% -0.94% -1.11% -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   6 4 8 8 11 7 6 6 7 6 1
2020 Contract Condition   Yes   Yes       Yes Yes Yes Yes Yes
Action   Yes   No       Yes Yes Yes Yes Yes
High 97.875 97.725 97.185 96.670 97.085 99.050 103.980 101.015 100.600 98.290 97.615 93.980
Low 96.672 95.918 95.957 95.358 95.655 96.905 94.670 98.780 97.930 95.570 92.510 91.990
Close/Last 97.875 96.060 97.078 95.358 96.480 97.525 99.093 99.058 98.323 97.350 93.320 92.130

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