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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 06, 2023
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   41 41 41 41 41 41 41 41 42 42 42
Closed Higher   26 28 27 24 20 22 24 18 18 22 22
Exceeded High   23 25 25 17 18 20 18 16 12 18 10
Scenario Percentage   88% 89% 93% 71% 90% 91% 75% 89% 67% 82% 45%
Avg Max Increase   0.63% 0.67% 0.61% 0.65% 0.67% 0.45% 0.36% 0.32% 0.48% 0.36% 0.18%
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 9
Avg Max Decline   -0.10% -0.19% -0.11% -0.06% -0.11% -0.17% -0.12% -0.09% -0.09% -0.06% -0.02%
Max Decline   -0.40% -1.49% -0.55% -0.27% -0.47% -0.76% -0.75% -0.43% -0.30% -0.64% -0.15%
Avg Days to Max Decline   9 9 6 4 7 8 9 7 7 2 1
2023 Contract Condition   Yes       Yes Yes Yes   Yes    
Action   No       Yes No Yes   No    
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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   41 41 41 41 41 41 41 41 42 42 42
Closed Lower   15 13 13 16 20 19 16 23 23 18 19
Penetrated Low   9 7 9 14 11 11 13 21 15 12 10
Scenario Percentage   60% 54% 69% 88% 55% 58% 81% 91% 65% 67% 53%
Avg Max Decline   0.39% 0.62% 0.53% 0.35% 0.32% 0.49% 0.46% 0.41% 0.40% 0.29% 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 12 18 15 20 18 18 18 13 12 8
Avg Max Increase   -0.15% -0.08% -0.09% -0.06% -0.07% -0.07% -0.10% -0.11% -0.06% -0.05% -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 3 12 3 3 11 5 5 6 3 3
2023 Contract Condition     Yes Yes Yes       Yes   Yes Yes
Action     Yes Yes Yes       Yes   Yes Not Yet
High 96.735 96.870 96.820 96.025 95.530 94.930 95.015 94.975 94.995 95.475 94.975 94.695
Low 95.635 96.295 95.845 94.925 94.710 94.420 94.750 94.620 94.440 94.205 94.580 94.350
Close/Last 96.565 96.740 95.905 95.335 94.795 94.830 94.835 94.915 94.470 94.780 94.600 94.463

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