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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Eurodollars(CME) as of Nov 09, 2020
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   38 38 38 38 38 38 38 38 39 39 39
Closed Higher   23 27 27 24 19 20 22 18 17 22 20
Exceeded High   22 25 25 17 17 19 16 16 12 18 10
Scenario Percentage   96% 93% 93% 71% 89% 95% 73% 89% 71% 82% 50%
Avg Max Increase   0.66% 0.67% 0.61% 0.65% 0.70% 0.47% 0.36% 0.32% 0.48% 0.35% 0.17%
Max Increase   2.01% 3.61% 2.75% 1.62% 1.91% 1.11% 1.29% 1.41% 2.24% 1.69% 0.40%
Avg Days To Max Increase   17 16 15 18 15 18 15 18 19 13 9
Avg Max Decline   -0.10% -0.19% -0.11% -0.06% -0.11% -0.17% -0.09% -0.09% -0.09% -0.06% -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
2020 Contract Condition     Yes   Yes     Yes Yes Yes Yes Yes
Action     Yes   No     Yes Yes No 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   38 38 38 38 38 38 38 38 39 39 39
Closed Lower   15 11 11 13 18 18 15 20 21 15 18
Penetrated Low   9 6 7 11 10 10 12 18 13 10 10
Scenario Percentage   60% 55% 64% 85% 56% 56% 80% 90% 62% 67% 56%
Avg Max Decline   0.39% 0.52% 0.49% 0.39% 0.30% 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
2020 Contract Condition   Yes   Yes   Yes Yes          
Action   No   No   Yes No          
High 98.500 98.410 98.695 98.710 98.700 98.495 98.460 98.515 98.985 99.765 99.680 99.715
Low 98.165 98.095 98.170 98.300 98.345 98.305 98.270 98.295 98.380 98.970 99.305 99.625
Close/Last 98.380 98.190 98.605 98.445 98.490 98.380 98.310 98.495 98.965 99.475 99.655 99.698

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