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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, 2015
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   32 32 32 32 32 32 32 32 33 33 33
Closed Higher   21 22 25 22 17 19 18 16 13 18 15
Exceeded High   20 21 23 17 15 18 13 14 9 14 9
Scenario Percentage   95% 95% 92% 77% 88% 95% 72% 88% 69% 78% 60%
Avg Max Increase   0.70% 0.77% 0.66% 0.65% 0.76% 0.49% 0.33% 0.30% 0.61% 0.44% 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 14 17 19 13 9
Avg Max Decline   -0.11% -0.22% -0.11% -0.06% -0.11% -0.18% -0.09% -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   10 9 6 4 7 7 8 7 5 2 1
2014 Contract Condition   Yes   Yes Yes Yes   Yes Yes   Yes Yes
Action   Yes   Yes Yes No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   32 32 32 32 32 32 32 32 33 33 33
Closed Lower   11 10 7 9 14 13 13 16 19 14 17
Penetrated Low   7 5 5 7 6 8 10 15 12 9 10
Scenario Percentage   64% 50% 71% 78% 43% 62% 77% 94% 63% 64% 59%
Avg Max Decline   0.46% 0.61% 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 10 20 15 16 17 17 19 16 12 8
Avg Max Increase   -0.17% -0.07% -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
2014 Contract Condition     Yes       Yes          
Action     Yes       No          
High 99.610 99.580 99.595 99.640 99.690 99.740 99.735 99.730 99.760 99.765 99.780 99.785
Low 99.320 99.425 99.505 99.480 99.585 99.680 99.660 99.680 99.720 99.735 99.760 99.770
Close/Last 99.510 99.570 99.555 99.635 99.680 99.720 99.685 99.720 99.755 99.755 99.770 99.773

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