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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, 2016
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   29 29 29 30 30 30 30 30 30 30 30
Closed Higher   17 12 15 9 19 12 16 13 12 10 17
Exceeded High   13 10 13 8 17 11 10 8 12 8 9
Scenario Percentage   76% 83% 87% 89% 89% 92% 63% 62% 100% 80% 53%
Avg Max Increase   3.14% 2.46% 3.55% 3.75% 2.25% 2.82% 3.47% 4.98% 4.11% 3.04% 1.06%
Max Increase   6.39% 5.08% 7.42% 8.00% 8.36% 6.64% 9.61% 13.53% 12.46% 4.08% 2.50%
Avg Days To Max Increase   19 18 19 18 12 14 15 17 18 12 7
Avg Max Decline   -1.22% -0.36% -0.85% -0.73% -1.32% -0.34% -0.47% -0.75% -0.90% -0.70% -0.65%
Max Decline   -2.60% -1.06% -2.76% -1.59% -3.72% -0.91% -1.43% -2.47% -2.75% -2.19% -2.61%
Avg Days to Max Decline   7 11 14 8 10 6 4 7 5 3 2
2015 Contract Condition   Yes   Yes   Yes   Yes   Yes Yes Yes
Action   Yes   No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   29 29 29 30 30 30 30 30 30 30 30
Closed Lower   12 17 14 21 11 18 14 17 18 20 13
Penetrated Low   10 13 13 14 10 16 13 15 16 14 10
Scenario Percentage   83% 76% 93% 67% 91% 89% 93% 88% 89% 70% 77%
Avg Max Decline   3.41% 2.99% 3.75% 3.35% 3.34% 3.19% 2.88% 3.93% 3.84% 3.43% 1.55%
Max Decline   6.90% 6.29% 7.76% 8.27% 7.61% 7.14% 5.00% 9.15% 7.85% 5.67% 2.82%
Avg Days To Max Decline   17 23 18 14 18 18 19 16 20 11 7
Avg Max Increase   -0.78% -1.64% -0.92% -0.59% -0.73% -0.74% -1.40% -0.64% -1.00% -0.55% -0.46%
Max Increase   -2.59% -6.12% -2.95% -3.27% -2.66% -3.08% -3.33% -2.41% -3.06% -1.55% -1.85%
Avg Days to Max Increase   7 12 7 6 4 8 15 5 10 5 2
2015 Contract Condition     Yes   Yes   Yes   Yes      
Action     Yes   Yes   Yes   No      
High 91.590 97.090 96.970 102.450 101.190 98.530 98.565 98.620 98.740 96.920 97.895 100.360
Low 88.998 91.700 95.235 96.200 95.210 93.770 94.090 95.945 92.850 94.195 93.830 96.710
Close/Last 91.575 96.835 96.540 99.640 95.463 97.725 96.010 97.760 96.135 96.480 97.020 100.210

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