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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 21, 2022
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   39 39 39 39 39 39 39 39 40 40 40
Closed Higher   24 27 27 24 19 21 23 18 17 22 21
Exceeded High   22 25 25 17 17 20 17 16 12 18 10
Scenario Percentage   92% 93% 93% 71% 89% 95% 74% 89% 71% 82% 48%
Avg Max Increase   0.66% 0.67% 0.61% 0.65% 0.70% 0.45% 0.34% 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 8
Avg Max Decline   -0.10% -0.19% -0.11% -0.06% -0.11% -0.17% -0.08% -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 8 7 7 7 2 1
2021 Contract Condition   Yes         Yes Yes       Yes
Action   No         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   39 39 39 39 39 39 39 39 40 40 40
Closed Lower   15 12 11 14 19 18 15 21 22 16 18
Penetrated Low   9 6 7 12 10 10 12 19 14 10 9
Scenario Percentage   60% 50% 64% 86% 53% 56% 80% 90% 64% 63% 50%
Avg Max Decline   0.39% 0.52% 0.49% 0.36% 0.30% 0.45% 0.44% 0.39% 0.40% 0.31% 0.11%
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 15 19 19 17 19 14 12 7
Avg Max Increase   -0.15% -0.08% -0.08% -0.05% -0.08% -0.08% -0.10% -0.11% -0.07% -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   8 2 15 3 3 12 5 6 6 4 3
2021 Contract Condition     Yes   Yes Yes     Yes Yes Yes  
Action     No   Yes No     Yes Yes Not Yet  
High 99.830 99.855 99.855 99.825 99.815 99.805 99.840 99.850 99.860 99.845 99.830 99.883
Low 99.725 99.800 99.775 99.790 99.785 99.780 99.790 99.815 99.815 99.820 99.805 99.805
Close/Last 99.820 99.845 99.810 99.810 99.800 99.795 99.835 99.845 99.830 99.825 99.815 99.877

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