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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Eurodollars(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   31 31 32 32 32 32 32 32 32 32 32
Closed Higher   19 19 11 19 15 22 21 24 22 23 15
Exceeded High   13 18 8 15 14 18 21 23 20 15 8
Scenario Percentage   68% 95% 73% 79% 93% 82% 100% 96% 91% 65% 53%
Avg Max Increase   0.47% 0.38% 0.66% 0.72% 0.60% 0.65% 0.56% 0.70% 0.49% 0.33% 0.26%
Max Increase   1.06% 1.55% 2.37% 2.50% 1.43% 2.29% 2.72% 4.42% 2.88% 1.47% 0.74%
Avg Days To Max Increase   13 18 19 15 19 17 16 17 14 11 10
Avg Max Decline   -0.15% -0.27% -0.16% -0.09% -0.14% -0.08% -0.09% -0.16% -0.11% -0.10% -0.02%
Max Decline   -0.39% -0.96% -0.40% -0.47% -0.60% -0.39% -0.34% -0.81% -0.45% -0.60% -0.11%
Avg Days to Max Decline   8 13 5 4 4 6 8 7 7 9 2
2013 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   31 31 32 32 32 32 32 32 32 32 32
Closed Lower   11 12 21 12 17 10 9 8 10 8 15
Penetrated Low   8 11 13 11 11 5 7 3 6 5 9
Scenario Percentage   73% 92% 62% 92% 65% 50% 78% 38% 60% 63% 60%
Avg Max Decline   0.43% 0.72% 0.78% 0.71% 0.34% 0.23% 0.27% 0.89% 0.44% 0.29% 0.25%
Max Decline   0.77% 1.89% 2.63% 2.22% 0.90% 0.41% 0.63% 2.09% 1.37% 0.68% 0.76%
Avg Days To Max Decline   18 18 18 17 16 11 16 21 20 12 10
Avg Max Increase   -0.15% -0.12% -0.13% -0.06% -0.18% -0.10% -0.13% -0.19% -0.10% -0.05% -0.01%
Max Increase   -0.41% -0.33% -0.41% -0.20% -0.66% -0.21% -0.44% -0.39% -0.25% -0.17% -0.03%
Avg Days to Max Increase   7 7 6 4 6 15 8 8 16 4 2
2013 Contract Condition   Yes   Yes   Yes Yes          
Action   No   No   Yes No          
High 99.665 99.655 99.650 99.665 99.700 99.705 99.695 99.690 99.705 99.730 99.755 99.767
Low 99.580 99.540 99.585 99.575 99.595 99.600 99.495 99.595 99.660 99.685 99.660 99.745
Close/Last 99.625 99.595 99.645 99.600 99.690 99.635 99.625 99.680 99.700 99.715 99.750 99.763

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