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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 Oct 29, 2021
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   34 34 34 35 35 35 35 35 35 35 35
Closed Higher   19 16 17 12 22 14 17 16 16 14 20
Exceeded High   14 14 14 10 20 13 11 11 15 12 8
Scenario Percentage   74% 88% 82% 83% 91% 93% 65% 69% 94% 86% 40%
Avg Max Increase   3.49% 2.62% 3.39% 3.54% 2.17% 2.70% 3.28% 4.22% 3.66% 2.48% 0.88%
Max Increase   7.96% 6.66% 7.42% 8.00% 8.36% 6.64% 9.61% 13.53% 12.46% 4.08% 1.63%
Avg Days To Max Increase   19 18 19 19 14 14 16 18 16 12 5
Avg Max Decline   -1.25% -0.60% -0.82% -0.59% -1.40% -0.42% -0.54% -0.89% -0.78% -0.90% -0.66%
Max Decline   -2.60% -2.79% -2.76% -1.59% -3.72% -0.93% -1.43% -2.47% -2.75% -2.56% -2.61%
Avg Days to Max Decline   9 12 14 7 11 6 4 9 6 4 2
2021 Contract Condition   Yes Yes Yes     Yes   Yes Yes    
Action   Yes Yes No     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   34 34 34 35 35 35 35 35 35 35 35
Closed Lower   15 18 17 23 13 21 18 19 19 21 15
Penetrated Low   12 14 15 16 12 18 16 17 16 14 11
Scenario Percentage   80% 78% 88% 70% 92% 86% 89% 89% 84% 67% 73%
Avg Max Decline   2.98% 3.16% 3.67% 3.23% 3.62% 3.36% 2.65% 3.59% 3.84% 3.36% 1.46%
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   18 24 17 14 20 19 17 15 20 11 7
Avg Max Increase   -1.01% -1.55% -0.91% -0.55% -0.65% -0.72% -1.33% -0.60% -1.00% -0.55% -0.43%
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 5 8 14 5 10 5 2
2021 Contract Condition         Yes Yes   Yes     Yes  
Action         Yes No   No     Not Yet  
High 90.430 90.750 91.450 93.335 93.265 91.250 92.420 93.160 93.710 94.520 94.570  
Low 89.535 89.090 89.620 90.740 90.405 89.550 89.695 91.775 91.800 91.935 93.265  
Close/Last 89.780 90.470 90.828 93.185 91.210 89.987 92.420 92.168 92.635 94.240 94.120  

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