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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 Dec 27, 2023
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   36 36 38 38 38 38 38 38 38 38 38
Closed Higher   16 21 14 21 20 20 12 23 16 18 19
Exceeded High   13 13 12 16 19 16 11 20 15 13 11
Scenario Percentage   81% 62% 86% 76% 95% 80% 92% 87% 94% 72% 58%
Avg Max Increase   2.62% 3.15% 3.38% 3.39% 3.46% 3.69% 3.66% 2.33% 2.83% 2.95% 2.21%
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   18 18 14 19 19 20 20 14 14 10 10
Avg Max Decline   -0.50% -0.96% -0.64% -1.34% -0.49% -1.00% -0.75% -1.53% -0.54% -0.70% -0.38%
Max Decline   -2.39% -2.09% -3.13% -2.62% -2.93% -3.11% -1.59% -4.18% -1.20% -1.51% -1.50%
Avg Days to Max Decline   7 15 5 10 12 13 9 11 10 4 3
2023 Contract Condition           Yes     Yes     Yes
Action           Yes     No     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   36 36 38 38 38 38 38 38 38 38 38
Closed Lower   20 15 24 17 18 18 26 15 22 20 19
Penetrated Low   13 12 19 14 13 16 19 11 19 16 16
Scenario Percentage   65% 80% 79% 82% 72% 89% 73% 73% 86% 80% 84%
Avg Max Decline   3.89% 4.04% 2.47% 2.85% 3.64% 3.74% 3.11% 3.98% 3.42% 2.17% 2.19%
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   22 18 13 16 21 14 14 21 18 9 9
Avg Max Increase   -0.36% -0.47% -0.87% -0.81% -1.09% -0.99% -0.81% -0.83% -0.92% -1.11% -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   6 4 8 8 11 7 6 6 7 6 2
2023 Contract Condition   Yes Yes Yes Yes   Yes Yes   Yes Yes  
Action   Yes Yes Yes Yes   Yes No   Yes Not Yet  
High 112.618 111.740 111.505 104.593 104.165 104.460 105.000 102.460 104.205 104.025 103.275 104.385
Low 108.518 108.535 104.923 102.590 100.775 100.503 101.340 100.215 100.340 101.485 99.220 101.550
Close/Last 110.715 110.240 104.923 102.590 101.330 104.240 101.945 101.055 103.845 102.588 101.625 103.588

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