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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Eurodollars(CME) as of Oct 20, 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   37 37 37 37 37 38 38 38 38 38 38
Closed Higher   23 19 21 21 18 15 21 19 26 25 25
Exceeded High   18 18 20 15 17 11 18 14 20 25 14
Scenario Percentage   78% 95% 95% 71% 94% 73% 86% 74% 77% 100% 56%
Avg Max Increase   0.66% 0.67% 0.57% 0.37% 0.36% 0.52% 0.55% 0.46% 0.41% 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 18 14 19 17 16 20 16 8 7
Avg Max Decline   -0.07% -0.12% -0.17% -0.10% -0.24% -0.12% -0.07% -0.06% -0.07% -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 9 6 4 11 4 1
2019 Contract Condition     Yes Yes Yes   Yes   Yes Yes   Yes
Action     Yes Yes Yes   Yes   Yes 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   37 37 37 37 37 38 38 38 38 38 38
Closed Lower   12 18 15 15 18 22 16 19 10 11 12
Penetrated Low   11 12 9 12 16 12 14 12 3 8 2
Scenario Percentage   92% 67% 60% 80% 89% 55% 88% 63% 30% 73% 17%
Avg Max Decline   0.42% 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   16 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   3 4 8 6 5 7 5 7 10 5 4
2019 Contract Condition   Yes           Yes     Yes  
Action   Yes           No     Not Yet  
High 97.090 96.965 97.060 97.350 97.480 97.430 97.610 97.545 97.775 98.075 97.990 98.090
Low 96.880 96.795 96.785 96.980 97.235 97.320 97.345 97.435 97.470 97.745 97.760 97.780
Close/Last 96.920 96.865 97.030 97.340 97.390 97.390 97.540 97.535 97.750 97.995 97.785 97.938

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