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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, 2015
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   32 32 32 32 32 33 33 33 33 33 33
Closed Higher   22 17 20 18 18 11 19 15 23 23 22
Exceeded High   18 16 19 13 17 8 16 12 18 23 13
Scenario Percentage   82% 94% 95% 72% 94% 73% 84% 80% 78% 100% 59%
Avg Max Increase   0.66% 0.72% 0.59% 0.40% 0.36% 0.66% 0.61% 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   16 18 19 13 19 17 15 20 16 7 7
Avg Max Decline   -0.07% -0.13% -0.17% -0.10% -0.24% -0.14% -0.07% -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 3 3 8 3 1
2014 Contract Condition   Yes Yes   Yes Yes   Yes Yes     Yes
Action   Yes No   Yes Yes   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   32 32 32 32 32 33 33 33 33 33 33
Closed Lower   8 15 11 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% 73% 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
2014 Contract Condition       Yes                
Action       No                
High 99.575 99.645 99.710 99.710 99.700 99.740 99.740 99.765 99.775 99.775 99.770 99.770
Low 99.325 99.530 99.630 99.615 99.615 99.690 99.695 99.730 99.750 99.745 99.750 99.755
Close/Last 99.575 99.635 99.695 99.635 99.690 99.730 99.730 99.755 99.760 99.760 99.760 99.765

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