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