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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Eurodollars(CME) as of Nov 09, 2020
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   38 38 38 38 38 39 39 39 39 39 39
Closed Higher   24 19 21 22 19 16 22 20 27 26 25
Exceeded High   18 18 20 16 18 11 19 15 21 26 14
Scenario Percentage   75% 95% 95% 73% 95% 69% 86% 75% 78% 100% 56%
Avg Max Increase   0.66% 0.67% 0.57% 0.42% 0.38% 0.52% 0.53% 0.43% 0.39% 0.36% 0.17%
Max Increase   1.59% 1.86% 1.45% 1.21% 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 15 8 7
Avg Max Decline   -0.07% -0.12% -0.17% -0.10% -0.23% -0.12% -0.07% -0.06% -0.07% -0.04% -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 10 4 1
2020 Contract Condition   Yes     Yes Yes Yes Yes Yes Yes Yes  
Action   No     Yes 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   38 38 38 38 38 39 39 39 39 39 39
Closed Lower   12 19 16 15 18 22 16 19 10 11 13
Penetrated Low   11 13 9 12 16 12 14 12 3 8 2
Scenario Percentage   92% 68% 56% 80% 89% 55% 88% 63% 30% 73% 15%
Avg Max Decline   0.42% 0.31% 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 15 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
2020 Contract Condition     Yes Yes               Yes
Action     Yes No               Not Yet
High 98.825 98.780 98.570 98.555 98.645 99.110 99.815 99.725 99.775 99.745 99.785 99.795
Low 98.355 98.395 98.345 98.315 98.345 98.465 99.055 99.510 99.680 99.665 99.715 99.745
Close/Last 98.525 98.560 98.460 98.365 98.620 99.085 99.645 99.710 99.715 99.735 99.780 99.767

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