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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Eurodollars(CME) as of May 10, 2021
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   38 38 39 39 39 39 39 39 39 39 39
Closed Higher   25 21 17 23 21 26 24 29 26 27 16
Exceeded High   18 20 12 19 17 21 24 26 24 16 7
Scenario Percentage   72% 95% 71% 83% 81% 81% 100% 90% 92% 59% 44%
Avg Max Increase   0.44% 0.38% 0.50% 0.59% 0.52% 0.57% 0.50% 0.63% 0.41% 0.30% 0.22%
Max Increase   1.14% 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   14 18 18 15 18 16 17 16 14 12 8
Avg Max Decline   -0.13% -0.25% -0.13% -0.08% -0.12% -0.08% -0.09% -0.14% -0.10% -0.09% -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 12 7 6 4 9 9 7 6 9 2
2020 Contract Condition   Yes Yes Yes Yes Yes Yes Yes   Yes Yes  
Action   Yes Yes No Yes No Yes Yes   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   38 38 39 39 39 39 39 39 39 39 39
Closed Lower   12 17 22 15 18 13 13 10 13 11 21
Penetrated Low   9 14 13 13 11 6 8 4 8 8 11
Scenario Percentage   75% 82% 59% 87% 61% 46% 62% 40% 62% 73% 52%
Avg Max Decline   0.41% 0.59% 0.78% 0.61% 0.34% 0.19% 0.25% 0.68% 0.36% 0.19% 0.16%
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 10 16 21 21 13 9
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 3
2020 Contract Condition                 Yes     Yes
Action                 No     Not Yet
High 98.570 98.685 99.125 99.785 99.695 99.785 99.715 99.750 99.755 99.760 99.770 99.770
Low 98.325 98.355 98.490 99.040 99.555 99.655 99.640 99.685 99.685 99.690 99.750 99.740
Close/Last 98.380 98.660 99.095 99.660 99.685 99.695 99.710 99.745 99.715 99.755 99.760 99.750

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