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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 Sep 30, 2024
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   37 37 37 38 38 38 38 38 38 38 38
Closed Higher   21 18 19 13 23 16 18 19 19 15 21
Exceeded High   16 16 15 11 20 15 12 14 17 12 11
Scenario Percentage   76% 89% 79% 85% 87% 94% 67% 74% 89% 80% 52%
Avg Max Increase   3.41% 2.50% 3.60% 3.46% 2.17% 2.76% 3.74% 4.15% 3.47% 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 18 19 19 14 16 17 17 16 11 8
Avg Max Decline   -1.25% -0.57% -0.77% -0.67% -1.40% -0.41% -0.60% -0.84% -0.76% -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
2024 Contract Condition   Yes Yes Yes Yes   Yes          
Action   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   37 37 37 38 38 38 38 38 38 38 38
Closed Lower   16 19 18 25 15 22 20 19 19 23 17
Penetrated Low   13 14 16 17 12 19 16 17 16 16 13
Scenario Percentage   81% 74% 89% 68% 80% 86% 80% 89% 84% 70% 76%
Avg Max Decline   2.81% 3.16% 3.53% 3.14% 3.62% 3.36% 2.65% 3.59% 3.84% 3.50% 1.67%
Max Decline   6.90% 6.29% 7.76% 8.27% 7.61% 7.14% 5.00% 9.15% 7.85% 7.20% 2.82%
Avg Days To Max Decline   17 24 17 15 20 19 17 15 20 11 9
Avg Max Increase   -0.87% -1.55% -0.86% -0.52% -0.65% -0.70% -1.33% -0.60% -1.00% -0.66% -0.42%
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 7 14 5 10 6 2
2024 Contract Condition           Yes   Yes Yes Yes    
Action           Yes   Yes Yes Not Yet    
High 101.460 102.805 103.960 103.540 105.370 104.887 105.435 105.320 103.845 101.505    
Low 100.075 101.295 102.257 101.628 103.165 103.473 103.350 102.990 100.085 99.865    
Close/Last 100.450 102.480 103.077 103.540 105.370 103.897 105.165 103.475 101.275 100.520    

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