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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Eurodollars(CME) as of Dec 30, 2016
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   34 34 34 34 34 34 34 34 35 35 35
Closed Higher   22 24 26 23 18 19 20 16 15 20 16
Exceeded High   21 23 24 17 16 18 14 14 11 16 9
Scenario Percentage   95% 96% 92% 74% 89% 95% 70% 88% 73% 80% 56%
Avg Max Increase   0.68% 0.73% 0.64% 0.65% 0.72% 0.49% 0.32% 0.30% 0.51% 0.39% 0.18%
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 18 12 8
Avg Max Decline   -0.11% -0.20% -0.11% -0.06% -0.11% -0.18% -0.09% -0.10% -0.09% -0.07% -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 10 6 4 8 7 7 7 6 2 1
2016 Contract Condition   Yes Yes Yes       Yes   Yes Yes  
Action   Yes Yes Yes       Yes   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   34 34 34 34 34 34 34 34 35 35 35
Closed Lower   12 10 8 10 15 15 13 18 19 14 18
Penetrated Low   7 5 5 8 7 8 10 16 12 9 9
Scenario Percentage   58% 50% 63% 80% 47% 53% 77% 89% 63% 64% 50%
Avg Max Decline   0.46% 0.61% 0.63% 0.46% 0.36% 0.50% 0.48% 0.45% 0.46% 0.34% 0.10%
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 16 18 17 17 19 16 12 6
Avg Max Increase   -0.17% -0.07% -0.11% -0.06% -0.09% -0.10% -0.11% -0.12% -0.08% -0.04% -0.06%
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 3 3 10 5 6 7 4 3
2016 Contract Condition         Yes Yes Yes   Yes     Yes
Action         Yes Yes No   Yes     Not Yet
High 99.130 99.205 99.345 99.370 99.470 99.320 99.235 99.345 99.390 99.315 99.330 99.360
Low 98.885 99.000 99.020 99.170 99.295 99.150 99.075 99.085 99.245 99.170 99.265 99.248
Close/Last 99.075 99.115 99.205 99.355 99.315 99.210 99.100 99.325 99.270 99.310 99.325 99.278

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