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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, 2016
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   33 33 34 34 34 34 34 34 34 34 34
Closed Higher   21 20 12 21 17 23 22 26 24 25 16
Exceeded High   14 19 9 17 16 19 22 25 22 15 7
Scenario Percentage   67% 95% 75% 81% 94% 83% 100% 96% 92% 60% 44%
Avg Max Increase   0.44% 0.36% 0.60% 0.64% 0.53% 0.62% 0.54% 0.65% 0.45% 0.32% 0.22%
Max Increase   1.06% 1.55% 2.37% 2.50% 1.43% 2.29% 2.72% 4.42% 2.88% 1.24% 0.74%
Avg Days To Max Increase   13 18 18 15 18 17 17 17 14 12 8
Avg Max Decline   -0.14% -0.26% -0.14% -0.08% -0.13% -0.08% -0.09% -0.15% -0.10% -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 6 4 8 8 7 6 9 2
2015 Contract Condition   Yes   Yes Yes Yes Yes Yes Yes Yes Yes  
Action   No   Yes 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   33 33 34 34 34 34 34 34 34 34 34
Closed Lower   11 13 22 12 17 11 10 8 10 8 16
Penetrated Low   8 11 13 11 11 5 7 3 6 5 9
Scenario Percentage   73% 85% 59% 92% 65% 45% 70% 38% 60% 63% 56%
Avg Max Decline   0.43% 0.72% 0.78% 0.71% 0.34% 0.23% 0.27% 0.89% 0.44% 0.25% 0.19%
Max Decline   0.77% 1.89% 2.63% 2.22% 0.90% 0.41% 0.63% 2.09% 1.37% 0.49% 0.58%
Avg Days To Max Decline   18 18 18 17 16 11 16 21 20 12 9
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
2015 Contract Condition     Yes                 Yes
Action     No                 Yes
High 99.310 99.390 99.360 99.355 99.450 99.465 99.500 99.545 99.590 99.605 99.645 99.600
Low 99.020 99.045 99.105 99.125 99.330 99.355 99.335 99.420 99.410 99.480 99.570 99.523
Close/Last 99.085 99.335 99.230 99.345 99.390 99.435 99.465 99.475 99.520 99.585 99.595 99.530

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