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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March EuroFX(CME) as of Feb 21, 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   20 20 20 20 20 20 20 21 21 21 21
Closed Higher   11 7 11 9 10 10 9 9 13 8 11
Exceeded High   9 6 7 9 7 8 8 8 10 7 7
Scenario Percentage   82% 86% 64% 100% 70% 80% 89% 89% 77% 88% 64%
Avg Max Increase   3.36% 3.58% 3.97% 3.15% 3.19% 3.81% 3.95% 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 17 16 10 10 12
Avg Max Decline   -0.52% -0.67% -1.44% -1.23% -0.56% -1.19% -0.97% -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 8 4 6 8 3
2020 Contract Condition       Yes       Yes   Yes    
Action       No       Yes   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   20 20 20 20 20 20 20 21 21 21 21
Closed Lower   9 13 9 10 10 10 11 12 8 13 10
Penetrated Low   7 13 7 7 8 10 9 9 7 11 9
Scenario Percentage   78% 100% 78% 70% 80% 100% 82% 75% 88% 85% 90%
Avg Max Decline   5.10% 2.11% 2.61% 5.40% 4.76% 4.37% 3.13% 3.66% 4.35% 3.02% 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   13 14 14 15 20 16 13 18 14 6 7
Avg Max Increase   -0.64% -1.66% -0.41% -0.84% -0.89% -0.90% -0.96% -2.33% -1.09% -1.49% -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 12 6 11 8 6 5 21 4 5 2
2020 Contract Condition   Yes Yes   Yes Yes Yes   Yes   Yes Yes
Action   Yes Yes   Yes Yes Yes   Yes   Yes  
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 115.40 115.22 114.28 115.98 112.91 111.40 110.38 112.45 110.97 112.82 111.19 108.72

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