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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March EuroFX(CME) as of Jun 08, 2020
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   21 21 21 21 21 21 21 22 22 22 22
Closed Higher   11 7 12 9 10 10 10 9 14 8 11
Exceeded High   9 6 7 9 7 8 9 8 10 7 7
Scenario Percentage   82% 86% 58% 100% 70% 80% 90% 89% 71% 88% 64%
Avg Max Increase   3.36% 3.58% 3.97% 3.15% 3.19% 3.81% 3.56% 5.15% 3.23% 2.38% 1.90%
Max Increase   10.46% 8.80% 8.32% 6.26% 5.57% 7.34% 7.01% 9.97% 4.59% 5.58% 3.16%
Avg Days To Max Increase   15 14 21 17 14 21 19 16 10 10 12
Avg Max Decline   -0.52% -0.67% -1.44% -1.23% -0.56% -1.19% -1.05% -0.68% -1.53% -1.27% -0.72%
Max Decline   -2.52% -1.72% -3.00% -3.07% -2.62% -2.19% -2.30% -1.51% -3.70% -2.93% -1.23%
Avg Days to Max Decline   6 7 7 15 3 13 10 4 6 8 3
2020 Contract Condition       Yes       Yes   Yes    
Action       No       Yes   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   21 21 21 21 21 21 21 22 22 22 22
Closed Lower   10 14 9 11 11 11 11 13 8 14 11
Penetrated Low   8 14 7 8 9 11 9 10 7 12 9
Scenario Percentage   80% 100% 78% 73% 82% 100% 82% 77% 88% 86% 82%
Avg Max Decline   4.62% 2.06% 2.61% 5.02% 4.36% 4.00% 3.13% 3.36% 4.35% 3.01% 2.18%
Max Decline   10.39% 3.49% 5.73% 10.70% 14.97% 12.74% 5.75% 10.78% 8.30% 7.37% 6.54%
Avg Days To Max Decline   14 16 14 17 18 15 13 19 14 7 7
Avg Max Increase   -0.58% -1.67% -0.41% -0.88% -0.91% -0.85% -0.96% -2.27% -1.09% -1.37% -0.36%
Max Increase   -2.10% -3.95% -2.07% -2.18% -1.99% -2.88% -2.98% -3.82% -2.80% -3.79% -1.59%
Avg Days to Max Increase   8 13 6 10 8 5 5 22 4 5 2
2020 Contract Condition   Yes Yes   Yes Yes Yes   Yes   Yes Yes
Action   Yes Yes   Yes Yes Yes   Yes   Yes Not Yet
High 118.17 116.42 115.45 116.31 115.75 114.20 112.58 112.91 112.75 112.93 112.76 111.20
Low 115.39 114.25 113.81 114.15 112.72 111.34 110.21 110.15 110.61 110.82 110.24 107.93
Close/Last 115.40 115.22 114.28 115.98 112.91 111.40 110.38 112.45 110.97 112.82 111.19 110.40

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