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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, 2018
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   35 35 36 36 36 36 36 36 36 36 36
Closed Higher   23 20 14 22 18 24 23 27 25 25 16
Exceeded High   16 19 11 18 16 19 23 26 23 15 8
Scenario Percentage   70% 95% 79% 82% 89% 79% 100% 96% 92% 60% 50%
Avg Max Increase   0.40% 0.36% 0.51% 0.61% 0.53% 0.62% 0.52% 0.63% 0.43% 0.34% 0.27%
Max Increase   1.06% 1.55% 2.37% 2.50% 1.43% 2.29% 2.72% 4.42% 2.88% 1.56% 0.74%
Avg Days To Max Increase   13 18 17 15 18 17 16 16 14 12 10
Avg Max Decline   -0.13% -0.26% -0.13% -0.08% -0.13% -0.08% -0.09% -0.14% -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   6 13 6 6 4 8 8 7 7 9 2
2017 Contract Condition   Yes   Yes Yes Yes   Yes Yes      
Action   Yes   Yes Yes No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   35 35 36 36 36 36 36 36 36 36 36
Closed Lower   11 15 22 13 18 12 11 9 11 10 18
Penetrated Low   8 13 13 12 11 6 8 4 7 7 12
Scenario Percentage   73% 87% 59% 92% 61% 50% 73% 44% 64% 70% 67%
Avg Max Decline   0.43% 0.63% 0.78% 0.66% 0.34% 0.19% 0.25% 0.68% 0.39% 0.23% 0.20%
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 10 16 21 20 13 11
Avg Max Increase   -0.15% -0.11% -0.13% -0.07% -0.18% -0.09% -0.12% -0.16% -0.09% -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 13 7 7 14 4 2
2017 Contract Condition     Yes       Yes     Yes Yes Yes
Action     Yes       Yes     Yes Yes Yes
High 98.650 98.535 98.555 98.480 98.595 98.655 98.630 98.580 98.600 98.635 98.520 98.490
Low 98.360 98.410 98.385 98.335 98.445 98.480 98.520 98.495 98.530 98.490 98.470 98.445
Close/Last 98.480 98.500 98.440 98.450 98.515 98.605 98.525 98.550 98.585 98.520 98.490 98.450

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