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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December US Dollar Index(ICE) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   27 27 27 28 28 28 28 28 28 28 28
Closed Higher   15 12 13 9 17 12 14 12 10 8 15
Exceeded High   12 10 12 8 15 11 8 7 10 6 7
Scenario Percentage   80% 83% 92% 89% 88% 92% 57% 58% 100% 75% 47%
Avg Max Increase   2.92% 2.46% 3.80% 3.75% 2.40% 2.82% 3.50% 4.94% 4.24% 2.95% 1.18%
Max Increase   6.39% 5.08% 7.42% 8.00% 8.36% 6.64% 9.61% 13.53% 12.46% 4.08% 2.91%
Avg Days To Max Increase   19 18 20 18 11 14 14 15 17 14 7
Avg Max Decline   -1.19% -0.36% -0.92% -0.73% -1.19% -0.34% -0.53% -0.84% -0.63% -0.87% -0.36%
Max Decline   -2.60% -1.06% -2.76% -1.59% -3.50% -0.91% -1.43% -2.47% -2.13% -2.19% -1.05%
Avg Days to Max Decline   7 11 15 8 8 6 4 8 3 3 2
2013 Contract Condition     Yes Yes   Yes     Yes     Yes
Action     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   27 27 27 28 28 28 28 28 28 28 28
Closed Lower   12 15 14 19 11 16 14 16 18 20 13
Penetrated Low   10 11 13 12 10 14 13 15 16 14 10
Scenario Percentage   83% 73% 93% 63% 91% 88% 93% 94% 89% 70% 77%
Avg Max Decline   3.41% 3.35% 3.75% 3.70% 3.34% 3.40% 2.88% 3.93% 3.84% 3.46% 1.62%
Max Decline   6.90% 6.29% 7.76% 8.27% 7.61% 7.14% 5.00% 9.15% 7.85% 6.04% 2.82%
Avg Days To Max Decline   17 24 18 14 18 19 19 16 20 11 8
Avg Max Increase   -0.78% -1.30% -0.92% -0.56% -0.73% -0.63% -1.40% -0.64% -1.00% -0.55% -0.46%
Max Increase   -2.59% -4.94% -2.95% -3.27% -2.66% -3.08% -3.33% -2.41% -3.06% -1.55% -1.85%
Avg Days to Max Increase   7 10 7 6 4 7 15 5 10 5 2
2013 Contract Condition   Yes     Yes   Yes Yes   Yes Yes  
Action   Yes     Yes   No Yes   Yes Not Yet  
High 80.270 81.188 82.588 83.840 83.615 84.910 83.785 85.220 82.795 83.150 80.865 81.580
Low 79.750 79.790 79.665 82.715 82.183 81.933 80.950 81.755 81.035 80.115 79.060 80.320
Close/Last 80.270 79.790 82.588 83.605 82.220 83.885 83.595 81.770 82.390 80.323 80.263 80.657

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