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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Eurodollars(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   31 31 31 31 31 32 32 32 32 32 32
Closed Higher   21 16 20 17 17 11 18 14 23 23 21
Exceeded High   17 16 19 12 16 8 15 12 18 23 13
Scenario Percentage   81% 100% 95% 71% 94% 73% 83% 86% 78% 100% 62%
Avg Max Increase   0.70% 0.72% 0.59% 0.43% 0.38% 0.66% 0.65% 0.50% 0.44% 0.40% 0.19%
Max Increase   1.59% 1.86% 1.45% 0.99% 1.50% 2.38% 2.39% 1.00% 1.69% 3.82% 0.66%
Avg Days To Max Increase   17 18 19 12 19 17 16 20 16 8 7
Avg Max Decline   -0.08% -0.13% -0.17% -0.11% -0.25% -0.14% -0.08% -0.06% -0.06% -0.05% -0.02%
Max Decline   -0.45% -0.41% -0.67% -0.33% -1.06% -0.34% -0.55% -0.28% -0.27% -0.17% -0.10%
Avg Days to Max Decline   6 9 6 6 11 7 4 3 8 4 1
2013 Contract Condition     Yes Yes   Yes   Yes     Yes Yes
Action     Yes No   Yes   Yes     Yes Yes
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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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   31 31 31 31 31 32 32 32 32 32 32
Closed Lower   8 15 10 14 14 21 13 18 8 9 10
Penetrated Low   7 9 8 11 13 12 13 12 2 7 2
Scenario Percentage   88% 60% 80% 79% 93% 57% 100% 67% 25% 78% 20%
Avg Max Decline   0.52% 0.36% 0.52% 0.55% 0.60% 0.72% 0.54% 0.29% 0.19% 0.18% 0.15%
Max Decline   1.27% 0.66% 1.38% 1.93% 1.71% 2.14% 1.82% 0.72% 0.21% 0.38% 0.19%
Avg Days To Max Decline   14 11 15 19 18 18 17 15 11 10 6
Avg Max Increase   -0.05% -0.11% -0.09% -0.14% -0.11% -0.11% -0.04% -0.13% -0.06% -0.12% -0.04%
Max Increase   -0.22% -0.27% -0.29% -0.39% -0.30% -0.31% -0.14% -0.64% -0.07% -0.48% -0.08%
Avg Days to Max Increase   3 4 9 6 6 7 5 7 13 5 4
2013 Contract Condition   Yes     Yes   Yes   Yes      
Action   No     No   No   Yes      
High 99.665 99.675 99.665 99.690 99.685 99.680 99.695 99.715 99.720 99.720 99.720 99.737
Low 99.560 99.595 99.620 99.615 99.580 99.630 99.610 99.630 99.660 99.590 99.665 99.715
Close/Last 99.650 99.640 99.650 99.655 99.635 99.670 99.630 99.710 99.685 99.685 99.720 99.735

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