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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Eurodollars(CME) as of Apr 03, 2020
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   37 37 38 38 38 38 38 38 38 38 38
Closed Higher   24 20 16 22 20 25 23 29 25 26 16
Exceeded High   17 19 12 18 17 20 23 26 23 15 8
Scenario Percentage   71% 95% 75% 82% 85% 80% 100% 90% 92% 58% 50%
Avg Max Increase   0.39% 0.36% 0.50% 0.61% 0.52% 0.60% 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 18 15 18 17 16 16 14 11 10
Avg Max Decline   -0.13% -0.26% -0.13% -0.08% -0.12% -0.09% -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   7 13 7 6 4 9 8 7 7 9 2
2019 Contract Condition   Yes   Yes   Yes Yes   Yes   Yes  
Action   Yes   Yes   Yes Yes   No   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   37 37 38 38 38 38 38 38 38 38 38
Closed Lower   12 17 22 15 18 13 13 9 13 11 20
Penetrated Low   9 14 13 13 11 6 8 4 8 8 13
Scenario Percentage   75% 82% 59% 87% 61% 46% 62% 44% 62% 73% 65%
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
2019 Contract Condition     Yes   Yes     Yes   Yes   Yes
Action     No   No     No   No   Not Yet
High 97.365 97.510 97.420 97.680 97.580 97.930 98.205 98.090 98.320 98.205 98.205 98.135
Low 96.920 97.205 97.290 97.300 97.425 97.460 97.910 97.790 97.845 97.925 98.005 98.073
Close/Last 97.350 97.390 97.360 97.570 97.560 97.905 98.090 97.855 98.140 98.040 98.130 98.093

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