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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Eurodollars(CME) as of Oct 29, 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
2021 Contract Condition   Yes     Yes Yes   Yes   Yes    
Action   No     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   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% 0.17% 0.16%
Max Decline   0.77% 1.89% 2.63% 2.22% 0.90% 0.41% 0.63% 2.09% 1.37% 0.45% 0.58%
Avg Days To Max Decline   18 18 18 17 16 10 16 21 21 10 7
Avg Max Increase   -0.16% -0.11% -0.13% -0.08% -0.18% -0.09% -0.12% -0.16% -0.08% -0.04% -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 4 3
2021 Contract Condition     Yes Yes     Yes       Yes  
Action     Yes Yes     No       Not Yet  
High 99.795 99.805 99.805 99.785 99.750 99.835 99.835 99.830 99.840 99.835 99.840  
Low 99.735 99.755 99.755 99.725 99.720 99.735 99.770 99.785 99.790 99.810 99.770  
Close/Last 99.790 99.800 99.770 99.735 99.745 99.825 99.795 99.825 99.825 99.830 99.795  

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