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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Eurodollars(CME) as of Jun 23, 2023
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   40 40 41 41 41 41 41 41 41 41 41
Closed Higher   26 21 17 24 23 26 26 29 27 27 18
Exceeded High   18 20 12 20 17 21 25 26 25 16 9
Scenario Percentage   69% 95% 71% 83% 74% 81% 96% 90% 93% 59% 50%
Avg Max Increase   0.44% 0.38% 0.50% 0.56% 0.52% 0.57% 0.48% 0.63% 0.40% 0.32% 0.26%
Max Increase   1.14% 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   14 18 18 14 18 16 16 16 13 12 10
Avg Max Decline   -0.13% -0.25% -0.13% -0.07% -0.12% -0.08% -0.08% -0.14% -0.09% -0.09% -0.01%
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 5 4 9 8 7 6 9 2
2022 Contract Condition           Yes   Yes       Yes
Action           No   No       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   40 40 41 41 41 41 41 41 41 41 41
Closed Lower   13 19 24 16 18 15 13 11 14 13 21
Penetrated Low   10 16 15 14 11 6 8 5 9 10 13
Scenario Percentage   77% 84% 63% 88% 61% 40% 62% 45% 64% 77% 62%
Avg Max Decline   0.51% 0.62% 0.73% 0.64% 0.34% 0.19% 0.25% 0.78% 0.38% 0.18% 0.19%
Max Decline   1.45% 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   19 18 16 17 16 10 16 21 19 12 10
Avg Max Increase   -0.15% -0.11% -0.11% -0.09% -0.18% -0.09% -0.12% -0.14% -0.08% -0.05% -0.01%
Max Increase   -0.41% -0.33% -0.41% -0.29% -0.66% -0.21% -0.44% -0.39% -0.25% -0.17% -0.03%
Avg Days to Max Increase   6 6 6 8 6 13 7 6 11 5 2
2022 Contract Condition   Yes Yes Yes Yes   Yes   Yes Yes Yes  
Action   Yes Yes Yes Yes   No   Yes Yes Yes  
High 99.065 98.965 98.590 98.545 97.320 97.055 96.910 96.500 96.410 95.995 95.405 95.120
Low 98.900 98.465 97.880 97.105 96.710 96.585 95.775 95.905 95.865 95.140 94.795 94.790
Close/Last 98.955 98.535 98.275 97.340 96.770 96.905 96.310 96.355 95.935 95.310 94.890 95.103

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