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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Eurodollars(CME) as of Dec 30, 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   34 34 34 34 34 35 35 35 35 35 35
Closed Higher   23 18 20 20 18 13 20 16 25 23 22
Exceeded High   18 17 19 14 17 10 17 13 19 23 13
Scenario Percentage   78% 94% 95% 70% 94% 77% 85% 81% 76% 100% 59%
Avg Max Increase   0.66% 0.68% 0.59% 0.38% 0.36% 0.55% 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 15 16 19 17 8 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 9 6 4 9 4 1
2016 Contract Condition         Yes   Yes     Yes    
Action         Yes   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   34 34 34 34 34 35 35 35 35 35 35
Closed Lower   9 16 13 14 16 21 14 19 8 10 12
Penetrated Low   8 10 8 11 14 12 14 12 2 8 2
Scenario Percentage   89% 63% 62% 79% 88% 57% 100% 63% 25% 80% 17%
Avg Max Decline   0.48% 0.33% 0.52% 0.55% 0.57% 0.72% 0.51% 0.29% 0.19% 0.17% 0.33%
Max Decline   1.27% 0.66% 1.38% 1.93% 1.71% 2.14% 1.82% 0.72% 0.21% 0.38% 0.56%
Avg Days To Max Decline   16 13 15 19 18 18 18 15 11 12 9
Avg Max Increase   -0.05% -0.10% -0.09% -0.14% -0.10% -0.11% -0.04% -0.13% -0.06% -0.10% -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
2016 Contract Condition   Yes Yes Yes   Yes   Yes Yes   Yes Yes
Action   Yes Yes No   Yes   Yes No   Yes Not Yet
High 99.230 99.350 99.160 99.090 99.290 99.390 99.245 99.265 99.285 99.410 99.370 99.220
Low 98.990 99.135 98.960 98.910 98.920 99.185 99.060 99.150 99.125 99.150 99.150 99.093
Close/Last 99.210 99.155 99.045 98.935 99.265 99.215 99.240 99.220 99.165 99.355 99.210 99.115

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