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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 Jun 23, 2023
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   36 36 36 37 37 37 37 37 37 37 37
Closed Higher   21 17 19 13 22 16 18 18 18 14 21
Exceeded High   16 15 15 11 20 15 12 13 16 12 11
Scenario Percentage   76% 88% 79% 85% 91% 94% 67% 72% 89% 86% 52%
Avg Max Increase   3.41% 2.62% 3.60% 3.46% 2.17% 2.76% 3.74% 4.18% 3.61% 2.61% 1.13%
Max Increase   7.96% 6.66% 7.42% 8.00% 8.36% 6.64% 9.61% 13.53% 12.46% 5.22% 2.91%
Avg Days To Max Increase   19 19 19 19 14 16 17 18 16 11 8
Avg Max Decline   -1.25% -0.57% -0.77% -0.67% -1.40% -0.41% -0.60% -0.88% -0.80% -0.90% -0.80%
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   10 11 13 9 11 10 4 8 7 4 2
2022 Contract Condition   Yes   Yes Yes   Yes Yes Yes Yes    
Action   Yes   Yes Yes   Yes Yes Yes No    
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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   36 36 36 37 37 37 37 37 37 37 37
Closed Lower   15 19 17 24 15 21 19 19 19 23 16
Penetrated Low   12 14 15 17 12 18 16 17 16 16 12
Scenario Percentage   80% 74% 88% 71% 80% 86% 84% 89% 84% 70% 75%
Avg Max Decline   2.98% 3.16% 3.67% 3.14% 3.62% 3.36% 2.65% 3.59% 3.84% 3.51% 1.69%
Max Decline   6.90% 6.29% 7.76% 8.27% 7.61% 7.14% 5.00% 9.15% 7.85% 7.20% 3.00%
Avg Days To Max Decline   18 24 17 15 20 19 17 15 20 12 10
Avg Max Increase   -1.01% -1.55% -0.91% -0.52% -0.65% -0.72% -1.33% -0.60% -1.00% -0.66% -0.39%
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 6 2
2022 Contract Condition     Yes     Yes         Yes Yes
Action     No     No         Yes Yes
High 96.472 97.020 96.460 98.780 103.340 104.500 105.080 108.785 109.200 114.745 113.850 113.045
Low 95.438 94.500 94.800 96.835 98.100 100.845 101.300 104.200 104.150 107.450 109.365 105.155
Close/Last 95.438 96.293 96.015 98.115 102.333 101.290 104.085 105.475 108.400 112.085 111.420 105.898

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