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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, 2019
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   36 36 36 36 36 37 37 37 37 37 37
Closed Higher   23 18 20 20 18 14 21 18 25 25 24
Exceeded High   18 17 19 14 17 10 18 13 19 25 14
Scenario Percentage   78% 94% 95% 70% 94% 71% 86% 72% 76% 100% 58%
Avg Max Increase   0.66% 0.68% 0.59% 0.38% 0.36% 0.55% 0.55% 0.47% 0.42% 0.37% 0.17%
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
2018 Contract Condition             Yes   Yes   Yes Yes
Action             No   No   Yes 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   36 36 36 36 36 37 37 37 37 37 37
Closed Lower   11 18 15 15 18 22 15 19 10 10 12
Penetrated Low   10 12 9 12 16 12 14 12 3 8 2
Scenario Percentage   91% 67% 60% 80% 89% 55% 93% 63% 30% 80% 17%
Avg Max Decline   0.45% 0.32% 0.51% 0.52% 0.52% 0.72% 0.51% 0.29% 0.13% 0.17% 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   17 14 17 19 18 18 18 15 9 12 6
Avg Max Increase   -0.05% -0.09% -0.08% -0.14% -0.09% -0.11% -0.04% -0.13% -0.04% -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   4 4 8 6 5 7 5 7 10 5 4
2018 Contract Condition   Yes Yes Yes Yes Yes   Yes   Yes    
Action   Yes Yes Yes Yes Yes   No   No    
High 98.505 98.240 98.170 98.050 97.955 97.880 97.705 97.650 97.640 97.565 97.585 97.660
Low 98.200 98.120 98.005 97.920 97.740 97.580 97.540 97.475 97.475 97.475 97.525 97.555
Close/Last 98.220 98.155 98.010 97.960 97.755 97.605 97.625 97.510 97.565 97.545 97.560 97.645

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