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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, 2019
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   36 36 36 36 36 36 36 36 37 37 37
Closed Higher   23 25 27 23 18 19 20 16 15 21 18
Exceeded High   22 24 25 17 16 18 14 14 11 17 9
Scenario Percentage   96% 96% 93% 74% 89% 95% 70% 88% 73% 81% 50%
Avg Max Increase   0.66% 0.70% 0.61% 0.65% 0.72% 0.49% 0.32% 0.30% 0.51% 0.37% 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 16 15 18 16 17 14 17 18 13 9
Avg Max Decline   -0.10% -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 9 6 4 8 7 7 7 6 2 1
2018 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   36 36 36 36 36 36 36 36 37 37 37
Closed Lower   13 11 9 12 17 17 15 20 21 15 18
Penetrated Low   8 6 6 10 9 10 12 18 13 10 10
Scenario Percentage   62% 55% 67% 83% 53% 59% 80% 90% 62% 67% 56%
Avg Max Decline   0.43% 0.52% 0.56% 0.42% 0.32% 0.45% 0.44% 0.41% 0.43% 0.32% 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 21 17 19 19 17 19 15 12 8
Avg Max Increase   -0.15% -0.08% -0.09% -0.06% -0.08% -0.08% -0.10% -0.11% -0.07% -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 13 4 3 12 5 6 6 4 3
2018 Contract Condition       Yes Yes Yes Yes Yes Yes Yes Yes  
Action       Yes Yes Yes Yes Yes Yes Yes Yes  
High 98.500 98.430 98.520 98.550 98.305 98.240 98.140 98.070 97.980 97.820 97.715 97.730
Low 98.355 98.305 98.375 98.275 98.210 98.100 98.035 97.890 97.700 97.630 97.600 97.595
Close/Last 98.365 98.410 98.495 98.300 98.235 98.105 98.075 97.900 97.725 97.700 97.630 97.678

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