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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, 2018
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   34 35 35 35 35 35 35 35 35 35 35
Closed Higher   19 17 24 21 25 26 25 16 19 19 17
Exceeded High   17 16 19 19 24 25 17 13 17 13 9
Scenario Percentage   89% 94% 79% 90% 96% 96% 68% 81% 89% 68% 53%
Avg Max Increase   0.66% 0.61% 0.65% 0.67% 0.67% 0.50% 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% 0.59% 0.41%
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
2017 Contract Condition       Yes     Yes          
Action       No     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   34 35 35 35 35 35 35 35 35 35 35
Closed Lower   15 18 11 14 9 9 9 17 14 16 18
Penetrated Low   14 11 4 8 5 5 7 11 7 12 12
Scenario Percentage   93% 61% 36% 57% 56% 56% 78% 65% 50% 75% 67%
Avg Max Decline   0.69% 0.34% 0.28% 0.41% 0.63% 0.57% 0.41% 0.26% 0.38% 0.22% 0.12%
Max Decline   2.28% 0.94% 0.54% 1.20% 1.94% 1.18% 1.12% 0.73% 1.10% 0.93% 0.24%
Avg Days To Max Decline   16 13 15 17 13 17 19 18 19 7 5
Avg Max Increase   -0.09% -0.19% -0.13% -0.16% -0.13% -0.10% -0.08% -0.05% -0.06% -0.07% -0.02%
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 8 5 13 5 3 9 5 1
2017 Contract Condition   Yes Yes   Yes Yes   Yes Yes   Yes Yes
Action   Yes No   Yes Yes   Yes Yes   Yes Yes
High 99.155 99.170 99.185 99.365 99.320 99.155 99.085 99.060 99.135 98.975 98.955 98.955
Low 98.870 98.980 98.920 98.945 99.030 98.975 98.975 98.970 98.930 98.895 98.880 98.832
Close/Last 99.130 99.080 98.985 99.305 99.140 99.010 99.055 99.020 98.960 98.960 98.925 98.880

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