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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, 2019
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   32 32 32 33 33 33 33 33 33 33 33
Closed Higher   18 14 15 10 21 14 16 15 14 13 19
Exceeded High   13 12 13 9 19 13 10 10 14 11 11
Scenario Percentage   72% 86% 87% 90% 90% 93% 63% 67% 100% 85% 58%
Avg Max Increase   3.14% 2.29% 3.55% 3.83% 2.22% 2.70% 3.47% 4.55% 3.90% 2.82% 1.13%
Max Increase   6.39% 5.08% 7.42% 8.00% 8.36% 6.64% 9.61% 13.53% 12.46% 5.22% 2.91%
Avg Days To Max Increase   19 18 19 19 13 14 15 19 17 12 8
Avg Max Decline   -1.22% -0.44% -0.85% -0.62% -1.38% -0.42% -0.47% -0.90% -0.82% -0.90% -0.80%
Max Decline   -2.60% -1.83% -2.76% -1.59% -3.72% -0.93% -1.43% -2.47% -2.75% -2.56% -2.61%
Avg Days to Max Decline   7 11 14 7 10 6 4 8 7 4 2
2018 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 32 32 33 33 33 33 33 33 33 33
Closed Lower   14 18 17 23 12 19 17 18 19 20 14
Penetrated Low   12 14 15 16 11 17 15 16 16 14 10
Scenario Percentage   86% 78% 88% 70% 92% 89% 88% 89% 84% 70% 71%
Avg Max Decline   2.98% 3.16% 3.67% 3.23% 3.41% 3.24% 2.72% 3.79% 3.84% 3.46% 1.63%
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   18 24 17 14 19 19 18 16 20 11 9
Avg Max Increase   -1.01% -1.55% -0.91% -0.55% -0.74% -0.75% -1.37% -0.62% -1.00% -0.55% -0.46%
Max Increase   -2.87% -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   9 12 8 6 6 8 14 5 10 5 2
2018 Contract Condition   Yes   Yes       Yes        
Action   Yes   No       No        
High 91.875 91.350 89.390 89.610 90.820 94.035 94.775 95.000 96.450 95.280 96.980 97.530
Low 90.900 87.305 87.200 87.750 88.220 91.000 92.300 93.045 93.910 93.395 94.470 95.485
Close/Last 90.900 87.965 89.390 88.972 90.725 93.075 93.915 93.865 94.672 94.737 96.900 97.195

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