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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Eurodollars(CME) as of Dec 30, 2016
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   33 34 34 34 34 34 34 34 34 34 34
Closed Higher   19 17 23 21 25 25 25 16 19 19 17
Exceeded High   17 16 19 19 24 24 17 13 17 13 9
Scenario Percentage   89% 94% 83% 90% 96% 96% 68% 81% 89% 68% 53%
Avg Max Increase   0.66% 0.61% 0.65% 0.67% 0.67% 0.52% 0.59% 0.77% 0.38% 0.18% 0.13%
Max Increase   2.51% 1.65% 2.42% 2.18% 4.13% 3.01% 1.74% 1.83% 1.05% 0.65% 0.44%
Avg Days To Max Increase   17 18 16 19 17 13 19 17 15 10 7
Avg Max Decline   -0.08% -0.15% -0.10% -0.09% -0.17% -0.12% -0.07% -0.14% -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   8 6 9 9 9 5 7 6 8 5 2
2016 Contract Condition   Yes Yes Yes Yes Yes Yes       Yes  
Action   Yes Yes Yes Yes Yes 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   33 34 34 34 34 34 34 34 34 34 34
Closed Lower   14 17 11 13 8 9 8 16 14 15 17
Penetrated Low   13 11 4 7 4 5 6 10 7 11 11
Scenario Percentage   93% 65% 36% 54% 50% 56% 75% 63% 50% 73% 65%
Avg Max Decline   0.73% 0.34% 0.28% 0.44% 0.77% 0.57% 0.46% 0.28% 0.38% 0.23% 0.13%
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 15 17 14 17 20 17 19 9 6
Avg Max Increase   -0.09% -0.19% -0.13% -0.18% -0.14% -0.10% -0.08% -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 1
2016 Contract Condition               Yes Yes Yes   Yes
Action               Yes Yes No   Not Yet
High 99.170 99.295 99.295 99.330 99.390 99.480 99.495 99.565 99.460 99.385 99.390 99.390
Low 98.885 99.140 99.140 99.120 99.225 99.225 99.335 99.445 99.335 99.245 99.255 99.310
Close/Last 99.160 99.205 99.255 99.280 99.305 99.380 99.480 99.460 99.365 99.265 99.375 99.338

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