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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, 2015
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   32 32 33 33 33 33 33 33 33 33 33
Closed Higher   20 20 11 20 16 22 21 25 23 24 16
Exceeded High   14 19 8 16 15 18 21 24 21 15 8
Scenario Percentage   70% 95% 73% 80% 94% 82% 100% 96% 91% 63% 50%
Avg Max Increase   0.44% 0.36% 0.66% 0.67% 0.56% 0.65% 0.56% 0.67% 0.46% 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 18 17 16 17 14 11 10
Avg Max Decline   -0.14% -0.26% -0.16% -0.08% -0.13% -0.08% -0.09% -0.15% -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   7 13 5 4 4 6 8 7 7 9 2
2014 Contract Condition   Yes Yes   Yes Yes     Yes Yes Yes Yes
Action   Yes Yes   Yes Yes     Yes Yes Not Yet 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   32 32 33 33 33 33 33 33 33 33 33
Closed Lower   11 12 22 12 17 11 10 8 10 8 15
Penetrated Low   8 11 13 11 11 5 7 3 6 5 9
Scenario Percentage   73% 92% 59% 92% 65% 45% 70% 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% 0.27% 0.24%
Max Decline   0.77% 1.89% 2.63% 2.22% 0.90% 0.41% 0.63% 2.09% 1.37% 0.58% 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
2014 Contract Condition       Yes     Yes Yes        
Action       No     No No        
High 99.665 99.650 99.695 99.690 99.730 99.745 99.750 99.745 99.755 99.765 99.780 99.770
Low 99.545 99.520 99.635 99.630 99.665 99.705 99.685 99.695 99.710 99.735 99.740 99.760
Close/Last 99.570 99.635 99.685 99.680 99.720 99.735 99.725 99.720 99.745 99.755 99.760 99.763

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