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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Eurodollars(CME) as of Jun 08, 2020
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   37 38 38 38 38 38 38 38 38 38 38
Closed Higher   20 20 25 22 28 26 26 17 20 21 19
Exceeded High   18 17 20 20 25 25 17 14 18 15 12
Scenario Percentage   90% 85% 80% 91% 89% 96% 65% 82% 90% 71% 63%
Avg Max Increase   0.63% 0.59% 0.63% 0.65% 0.65% 0.50% 0.59% 0.73% 0.37% 0.25% 0.18%
Max Increase   2.51% 1.65% 2.42% 2.18% 4.13% 3.01% 1.74% 1.83% 1.05% 1.05% 0.76%
Avg Days To Max Increase   17 18 15 18 16 13 19 18 16 9 8
Avg Max Decline   -0.08% -0.14% -0.11% -0.09% -0.17% -0.12% -0.07% -0.13% -0.13% -0.05% -0.02%
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 10 9 9 5 7 6 8 5 2
2020 Contract Condition     Yes Yes   Yes   Yes     Yes Yes
Action     Yes Yes   No   No     Yes 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   37 38 38 38 38 38 38 38 38 38 38
Closed Lower   17 18 13 16 9 12 11 19 16 17 19
Penetrated Low   15 11 5 9 5 7 8 13 8 13 13
Scenario Percentage   88% 61% 38% 56% 56% 58% 73% 68% 50% 76% 68%
Avg Max Decline   0.65% 0.34% 0.23% 0.36% 0.63% 0.44% 0.38% 0.23% 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   16 13 13 17 13 19 19 19 20 10 8
Avg Max Increase   -0.10% -0.19% -0.10% -0.15% -0.13% -0.07% -0.07% -0.05% -0.05% -0.06% -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   7 6 9 8 5 10 4 3 8 5 1
2020 Contract Condition   Yes     Yes   Yes   Yes Yes    
Action   No     No   No   Yes No    
High 97.850 97.690 98.145 98.405 98.300 98.580 98.545 98.565 98.390 98.335 98.375 98.653
Low 97.355 97.515 97.545 98.105 98.000 98.070 98.200 98.275 98.250 98.220 98.250 98.300
Close/Last 97.685 97.670 98.115 98.290 98.090 98.450 98.330 98.390 98.280 98.265 98.360 98.640

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