MRCI's ScenarioSM Study

ScenarioSM Study for September Eurodollars(CME) as of Jan 01, 2016
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		33	33	33	33	33	34	34	34	34	34	34
Closed Higher		23	18	20	19	18	12	20	16	24	23	22
Exceeded High		18	17	19	13	17	9	17	13	19	23	13
Scenario Percentage		78%	94%	95%	68%	94%	75%	85%	81%	79%	100%	59%
Avg Max Increase		0.66%	0.68%	0.59%	0.40%	0.36%	0.60%	0.58%	0.47%	0.42%	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	17	19	13	19	16	16	19	17	7	7
Avg Max Decline		-0.07%	-0.13%	-0.17%	-0.10%	-0.24%	-0.12%	-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	10	6	6	11	7	6	4	9	3	1
2015 Contract Condition		Yes	Yes		Yes		Yes	Yes	Yes	Yes
Action		No	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		33	33	33	33	33	34	34	34	34	34	34
Closed Lower		8	15	12	14	15	21	13	18	8	9	11
Penetrated Low		7	9	8	11	13	12	13	12	2	7	2
Scenario Percentage		88%	60%	67%	79%	87%	57%	100%	67%	25%	78%	18%
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
2015 Contract Condition				Yes		Yes						Yes
Action				No		No						Not Yet
High	99.265	99.570	99.475	99.515	99.560	99.520	99.530	99.590	99.620	99.655	99.680	99.680
Low	99.145	99.185	99.345	99.290	99.320	99.350	99.365	99.510	99.545	99.535	99.595	99.580
Close/Last	99.180	99.405	99.470	99.350	99.505	99.445	99.520	99.565	99.600	99.635	99.635	99.630