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