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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Eurodollars(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   31 31 31 31 31 31 31 31 32 32 32
Closed Higher   20 22 24 21 16 19 17 15 13 17 14
Exceeded High   19 21 22 16 15 18 12 13 9 13 9
Scenario Percentage   95% 95% 92% 76% 94% 95% 71% 87% 69% 76% 64%
Avg Max Increase   0.74% 0.77% 0.69% 0.68% 0.76% 0.49% 0.36% 0.32% 0.61% 0.48% 0.19%
Max Increase   2.01% 3.61% 2.75% 1.62% 1.91% 1.11% 0.85% 1.41% 2.24% 1.69% 0.40%
Avg Days To Max Increase   17 17 15 18 16 17 12 17 19 13 9
Avg Max Decline   -0.11% -0.22% -0.12% -0.06% -0.11% -0.18% -0.10% -0.10% -0.10% -0.08% -0.02%
Max Decline   -0.40% -1.49% -0.55% -0.27% -0.47% -0.76% -0.27% -0.43% -0.30% -0.64% -0.15%
Avg Days to Max Decline   9 9 6 4 7 7 8 6 5 2 1
2013 Contract Condition   Yes Yes Yes   Yes Yes   Yes   Yes  
Action   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   31 31 31 31 31 31 31 31 32 32 32
Closed Lower   11 9 7 9 14 12 13 16 19 14 17
Penetrated Low   7 4 5 7 6 8 10 15 12 9 10
Scenario Percentage   64% 44% 71% 78% 43% 67% 77% 94% 63% 64% 59%
Avg Max Decline   0.46% 0.75% 0.63% 0.50% 0.40% 0.50% 0.48% 0.47% 0.46% 0.35% 0.12%
Max Decline   1.21% 1.83% 1.05% 1.31% 0.76% 1.39% 1.85% 1.26% 1.27% 1.07% 0.35%
Avg Days To Max Decline   17 11 20 15 16 17 17 19 16 12 8
Avg Max Increase   -0.17% -0.09% -0.11% -0.06% -0.10% -0.10% -0.11% -0.13% -0.08% -0.04% -0.05%
Max Increase   -0.51% -0.13% -0.23% -0.20% -0.19% -0.30% -0.29% -0.80% -0.26% -0.11% -0.29%
Avg Days to Max Increase   9 2 15 4 3 10 5 7 7 4 3
2013 Contract Condition               Yes   Yes   Yes
Action               No   No   Not Yet
High 99.490 99.625 99.645 99.675 99.695 99.680 99.710 99.705 99.700 99.715 99.730 99.730
Low 99.320 99.435 99.530 99.575 99.625 99.640 99.640 99.625 99.665 99.645 99.670 99.713
Close/Last 99.450 99.610 99.635 99.660 99.660 99.665 99.675 99.670 99.690 99.670 99.725 99.720

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