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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Eurodollars(CME) as of May 10, 2021
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   38 39 39 39 39 39 39 39 39 39 39
Closed Higher   21 21 26 23 28 27 26 17 21 22 19
Exceeded High   19 17 21 20 25 25 17 14 19 16 11
Scenario Percentage   90% 81% 81% 87% 89% 93% 65% 82% 90% 73% 58%
Avg Max Increase   0.60% 0.59% 0.61% 0.65% 0.65% 0.50% 0.59% 0.73% 0.35% 0.23% 0.19%
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   16 18 15 18 16 13 19 18 16 11 7
Avg Max Decline   -0.07% -0.14% -0.11% -0.09% -0.17% -0.12% -0.07% -0.13% -0.12% -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 9 4 2
2021 Contract Condition   Yes Yes Yes Yes   Yes     Yes Yes  
Action   Yes No 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   38 39 39 39 39 39 39 39 39 39 39
Closed Lower   17 18 13 16 10 12 12 20 16 17 20
Penetrated Low   15 11 5 9 5 7 9 13 8 13 14
Scenario Percentage   88% 61% 38% 56% 50% 58% 75% 65% 50% 76% 70%
Avg Max Decline   0.65% 0.34% 0.23% 0.36% 0.63% 0.44% 0.34% 0.23% 0.38% 0.23% 0.12%
Max Decline   2.28% 0.94% 0.54% 1.20% 1.94% 1.18% 1.12% 0.73% 1.10% 0.93% 0.28%
Avg Days To Max Decline   16 13 13 17 13 19 18 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
2021 Contract Condition           Yes   Yes Yes     Yes
Action           No   Yes No     Yes
High 99.795 99.760 99.870 99.805 99.835 99.835 99.805 99.805 99.800 99.835 99.845 99.847
Low 99.120 99.630 99.710 99.720 99.780 99.765 99.780 99.785 99.775 99.785 99.805 99.815
Close/Last 99.715 99.745 99.780 99.800 99.825 99.800 99.805 99.795 99.790 99.830 99.840 99.820

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