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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Eurodollars(CME) as of Sep 16, 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   40 40 40 40 40 40 40 40 41 41 41
Closed Higher   25 28 27 24 19 21 23 18 17 22 22
Exceeded High   23 25 25 17 17 20 17 16 12 18 10
Scenario Percentage   92% 89% 93% 71% 89% 95% 74% 89% 71% 82% 45%
Avg Max Increase   0.63% 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   16 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   9 9 6 4 8 8 7 7 7 2 1
2022 Contract Condition   Yes Yes                 Yes
Action   Yes No                 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   40 40 40 40 40 40 40 40 41 41 41
Closed Lower   15 12 12 15 20 19 16 22 23 17 18
Penetrated Low   9 6 8 13 11 11 13 20 15 11 9
Scenario Percentage   60% 50% 67% 87% 55% 58% 81% 91% 65% 65% 50%
Avg Max Decline   0.39% 0.52% 0.48% 0.34% 0.32% 0.49% 0.46% 0.41% 0.40% 0.29% 0.10%
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 20 18 18 19 13 11 6
Avg Max Increase   -0.15% -0.08% -0.07% -0.05% -0.07% -0.07% -0.10% -0.11% -0.06% -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 13 3 3 11 5 5 6 4 3
2022 Contract Condition       Yes Yes Yes Yes Yes Yes Yes Yes  
Action       Yes Yes Yes Yes Yes Yes Yes Yes  
High 99.815 99.815 99.830 99.825 99.810 99.655 99.550 99.425 99.155 99.095 98.450 98.243
Low 99.690 99.715 99.770 99.775 99.510 99.445 99.370 99.050 98.550 98.350 98.050 98.030
Close/Last 99.730 99.805 99.815 99.795 99.560 99.550 99.405 99.095 98.920 98.470 98.075 98.235

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