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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, 2019
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   36 36 37 37 37 37 37 37 37 37 37
Closed Higher   23 20 15 22 19 24 23 28 25 25 16
Exceeded High   16 19 11 18 16 19 23 26 23 15 8
Scenario Percentage   70% 95% 73% 82% 84% 79% 100% 93% 92% 60% 50%
Avg Max Increase   0.40% 0.36% 0.51% 0.61% 0.53% 0.62% 0.52% 0.63% 0.43% 0.33% 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 17 15 18 17 16 16 14 11 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
2018 Contract Condition       Yes   Yes     Yes      
Action       No   No     No      
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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   36 36 37 37 37 37 37 37 37 37 37
Closed Lower   12 16 22 14 18 13 12 9 12 11 19
Penetrated Low   9 14 13 13 11 6 8 4 8 8 13
Scenario Percentage   75% 88% 59% 93% 61% 46% 67% 44% 67% 73% 68%
Avg Max Decline   0.41% 0.59% 0.78% 0.61% 0.34% 0.19% 0.25% 0.68% 0.36% 0.21% 0.19%
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 21 12 10
Avg Max Increase   -0.16% -0.11% -0.13% -0.08% -0.18% -0.09% -0.12% -0.16% -0.08% -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   6 7 6 6 6 13 7 7 12 5 2
2018 Contract Condition   Yes Yes   Yes   Yes Yes   Yes Yes Yes
Action   Yes Yes   Yes   No No   Yes Yes Yes
High 97.975 97.855 97.775 97.575 97.540 97.550 97.455 97.380 97.420 97.395 97.355 97.275
Low 97.815 97.595 97.440 97.400 97.335 97.305 97.275 97.305 97.305 97.315 97.220 97.200
Close/Last 97.855 97.615 97.470 97.505 97.355 97.440 97.360 97.320 97.385 97.340 97.250 97.203

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