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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, 2018
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   35 35 35 35 35 35 35 35 36 36 36
Closed Higher   22 24 27 23 18 19 20 16 15 21 17
Exceeded High   21 23 25 17 16 18 14 14 11 17 9
Scenario Percentage   95% 96% 93% 74% 89% 95% 70% 88% 73% 81% 53%
Avg Max Increase   0.68% 0.73% 0.61% 0.65% 0.72% 0.49% 0.32% 0.30% 0.51% 0.38% 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 18 13 9
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
2017 Contract Condition       Yes             Yes Yes
Action       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   35 35 35 35 35 35 35 35 36 36 36
Closed Lower   13 11 8 11 16 16 14 19 20 14 18
Penetrated Low   8 6 5 9 8 9 11 17 12 9 10
Scenario Percentage   62% 55% 63% 82% 50% 56% 79% 89% 60% 64% 56%
Avg Max Decline   0.43% 0.52% 0.63% 0.44% 0.33% 0.46% 0.45% 0.43% 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 16 17 18 17 18 16 12 8
Avg Max Increase   -0.15% -0.08% -0.11% -0.06% -0.08% -0.09% -0.10% -0.11% -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   8 2 15 4 3 13 5 6 7 4 3
2017 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes Yes    
Action   Yes Yes   Yes Yes Yes Yes Yes No    
High 99.345 99.300 99.130 99.055 99.015 99.090 98.855 98.805 98.810 98.730 98.765 98.797
Low 98.870 98.980 98.925 98.920 98.910 98.795 98.695 98.710 98.670 98.635 98.680 98.690
Close/Last 99.270 99.110 98.965 99.015 98.960 98.835 98.795 98.770 98.715 98.710 98.715 98.752

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