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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Eurodollars(CME) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   31 32 32 32 32 32 32 32 32 32 32
Closed Higher   17 15 22 20 23 23 24 15 19 17 16
Exceeded High   15 14 18 18 22 22 17 12 17 13 10
Scenario Percentage   88% 93% 82% 90% 96% 96% 71% 80% 89% 76% 63%
Avg Max Increase   0.73% 0.68% 0.68% 0.70% 0.72% 0.56% 0.59% 0.84% 0.38% 0.20% 0.15%
Max Increase   2.51% 1.65% 2.42% 2.18% 4.13% 3.01% 1.74% 1.83% 1.05% 0.79% 0.58%
Avg Days To Max Increase   16 19 15 18 17 13 19 19 15 10 8
Avg Max Decline   -0.08% -0.16% -0.10% -0.09% -0.18% -0.13% -0.07% -0.15% -0.13% -0.05% -0.03%
Max Decline   -0.24% -0.75% -0.51% -0.29% -0.96% -0.54% -0.23% -0.54% -0.83% -0.16% -0.13%
Avg Days to Max Decline   7 6 8 10 8 5 7 7 8 5 2
2014 Contract Condition   Yes     Yes Yes Yes Yes Yes   Yes Yes
Action   No     Yes Yes Yes Yes No   Yes Not Yet
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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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   31 32 32 32 32 32 32 32 32 32 32
Closed Lower   14 17 10 12 8 9 7 15 12 15 16
Penetrated Low   13 11 3 7 4 5 5 9 7 11 11
Scenario Percentage   93% 65% 30% 58% 50% 56% 71% 60% 58% 73% 69%
Avg Max Decline   0.73% 0.34% 0.34% 0.44% 0.77% 0.57% 0.51% 0.29% 0.38% 0.24% 0.14%
Max Decline   2.28% 0.94% 0.54% 1.20% 1.94% 1.18% 1.12% 0.73% 1.10% 0.93% 0.28%
Avg Days To Max Decline   15 13 10 17 14 17 18 16 19 10 9
Avg Max Increase   -0.09% -0.19% -0.16% -0.18% -0.14% -0.10% -0.10% -0.06% -0.06% -0.07% -0.03%
Max Increase   -0.43% -0.64% -0.19% -0.50% -0.37% -0.17% -0.18% -0.14% -0.24% -0.23% -0.10%
Avg Days to Max Increase   5 6 11 9 6 13 4 3 9 5 2
2014 Contract Condition     Yes Yes           Yes    
Action     Yes No           No    
High 99.640 99.685 99.685 99.660 99.640 99.650 99.690 99.720 99.760 99.755 99.755 99.767
Low 99.555 99.575 99.540 99.405 99.515 99.595 99.600 99.625 99.715 99.705 99.720 99.745
Close/Last 99.580 99.670 99.580 99.570 99.630 99.640 99.675 99.715 99.745 99.725 99.750 99.765

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