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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Eurodollars(CME) as of Oct 20, 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   37 37 37 37 37 37 37 37 38 38 38
Closed Higher   23 26 27 23 19 20 21 17 16 21 19
Exceeded High   22 24 25 17 17 19 15 15 12 17 10
Scenario Percentage   96% 92% 93% 74% 89% 95% 71% 88% 75% 81% 53%
Avg Max Increase   0.66% 0.70% 0.61% 0.65% 0.70% 0.47% 0.30% 0.28% 0.48% 0.37% 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 16 15 18 15 18 14 18 19 13 9
Avg Max Decline   -0.10% -0.20% -0.11% -0.06% -0.11% -0.17% -0.08% -0.09% -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 7 2 1
2019 Contract Condition     Yes     Yes Yes Yes Yes Yes   Yes
Action     No     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   37 37 37 37 37 37 37 37 38 38 38
Closed Lower   14 11 10 13 17 17 15 20 21 15 18
Penetrated Low   9 6 7 11 9 10 12 18 13 10 10
Scenario Percentage   64% 55% 70% 85% 53% 59% 80% 90% 62% 67% 56%
Avg Max Decline   0.39% 0.52% 0.49% 0.39% 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 19 16 19 19 17 19 15 12 8
Avg Max Increase   -0.15% -0.08% -0.08% -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 15 4 3 12 5 6 6 4 3
2019 Contract Condition   Yes   Yes Yes              
Action   Yes   Yes Yes              
High 97.275 97.170 97.180 97.145 97.035 97.110 97.335 97.410 97.415 97.495 97.460 97.550
Low 97.040 97.040 97.035 96.975 96.905 96.900 97.045 97.250 97.330 97.365 97.405 97.435
Close/Last 97.145 97.055 97.140 97.010 96.960 97.085 97.315 97.375 97.395 97.455 97.455 97.530

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