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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March EuroFX(CME) as of Aug 18, 2023
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   24 24 24 24 24 24 24 25 25 25 25
Closed Higher   12 10 13 10 11 10 11 11 17 9 11
Exceeded High   10 7 8 10 8 8 10 10 13 8 6
Scenario Percentage   83% 70% 62% 100% 73% 80% 91% 91% 76% 89% 55%
Avg Max Increase   3.21% 4.08% 4.26% 3.01% 2.86% 3.81% 4.02% 4.89% 2.85% 2.24% 1.98%
Max Increase   10.46% 8.80% 8.32% 6.26% 5.57% 7.34% 8.15% 9.97% 4.59% 5.28% 2.86%
Avg Days To Max Increase   16 17 20 15 12 21 18 16 9 9 10
Avg Max Decline   -0.50% -0.56% -1.31% -1.18% -0.53% -1.19% -1.10% -0.58% -1.52% -1.13% -0.64%
Max Decline   -2.52% -1.72% -3.00% -3.07% -2.62% -2.19% -2.30% -1.51% -3.70% -2.93% -1.18%
Avg Days to Max Decline   6 6 7 14 2 13 9 3 7 7 3
2023 Contract Condition     Yes         Yes Yes Yes Yes  
Action     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   24 24 24 24 24 24 24 25 25 25 25
Closed Lower   12 14 11 13 13 14 13 14 8 16 14
Penetrated Low   9 14 9 10 11 13 11 11 7 14 11
Scenario Percentage   75% 100% 82% 77% 85% 93% 85% 79% 88% 88% 79%
Avg Max Decline   4.34% 2.06% 2.87% 4.99% 4.26% 3.73% 2.89% 3.23% 4.35% 2.97% 2.05%
Max Decline   10.39% 3.49% 5.94% 10.70% 14.97% 12.74% 5.75% 10.78% 8.30% 7.37% 6.54%
Avg Days To Max Decline   14 16 16 19 18 14 13 20 14 7 6
Avg Max Increase   -0.58% -1.67% -0.35% -0.87% -0.95% -0.89% -0.93% -2.18% -1.09% -1.39% -0.28%
Max Increase   -2.10% -3.95% -2.07% -2.18% -1.99% -2.88% -2.98% -3.82% -2.80% -3.79% -1.02%
Avg Days to Max Increase   8 13 8 12 8 8 4 24 4 7 2
2023 Contract Condition   Yes   Yes Yes Yes Yes         Yes
Action   Yes   Yes Yes Yes No         Yes
High 114.11 113.07 109.83 109.54 106.71 105.36 103.25 102.02 105.82 108.07 109.63 110.59
Low 110.12 107.02 105.68 105.90 101.53 100.54 96.58 97.55 98.32 104.73 105.29 105.42
Close/Last 113.00 107.99 109.30 106.89 103.96 101.79 99.28 99.93 104.96 107.54 108.93 105.92

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