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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June EuroFX(CME) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   17 17 17 17 18 18 19 19 19 19 19
Closed Higher   8 8 10 9 7 10 7 10 9 11 7
Exceeded High   8 6 8 8 5 6 6 8 9 9 6
Scenario Percentage   100% 75% 80% 89% 71% 60% 86% 80% 100% 82% 86%
Avg Max Increase   3.22% 3.40% 3.69% 3.89% 5.08% 3.88% 3.19% 4.04% 5.33% 2.88% 1.69%
Max Increase   6.39% 5.50% 7.34% 7.06% 9.95% 4.57% 6.98% 7.84% 9.75% 7.18% 3.39%
Avg Days To Max Increase   17 14 19 20 21 10 19 21 20 11 10
Avg Max Decline   -1.16% -0.72% -1.05% -0.89% -0.65% -1.67% -1.56% -1.07% -1.38% -0.77% -0.68%
Max Decline   -2.98% -2.62% -1.93% -2.17% -1.13% -3.69% -2.99% -2.73% -3.07% -2.80% -1.31%
Avg Days to Max Decline   16 3 12 7 6 6 13 7 8 4 3
2017 Contract Condition   Yes   Yes       Yes   Yes Yes Yes
Action   Yes   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   17 17 17 17 18 18 19 19 19 19 19
Closed Lower   9 9 7 8 11 8 12 9 10 8 12
Penetrated Low   5 7 7 7 8 7 8 8 9 6 7
Scenario Percentage   56% 78% 100% 88% 73% 88% 67% 89% 90% 75% 58%
Avg Max Decline   5.46% 4.22% 4.29% 3.63% 3.98% 4.33% 4.37% 4.13% 4.94% 5.46% 1.56%
Max Decline   10.45% 14.53% 12.41% 5.69% 10.74% 8.26% 7.38% 7.17% 10.14% 10.78% 3.65%
Avg Days To Max Decline   15 17 19 14 17 20 17 15 24 9 8
Avg Max Increase   -0.80% -0.63% -1.11% -0.61% -2.30% -1.04% -1.82% -0.57% -1.38% -0.82% -0.58%
Max Increase   -1.44% -1.74% -2.80% -2.95% -3.76% -2.76% -3.74% -1.59% -2.96% -2.33% -0.98%
Avg Days to Max Increase   8 5 6 12 15 4 7 5 10 5 3
2017 Contract Condition     Yes   Yes Yes Yes   Yes      
Action     Yes   Yes Yes Yes   Yes      
High 115.69 113.50 115.10 114.62 113.67 114.08 109.64 108.80 108.94 109.49 109.79 112.83
Low 111.00 111.21 112.13 112.67 109.68 106.27 104.50 104.28 105.52 105.48 106.04 108.58
Close/Last 112.27 113.40 113.11 113.73 110.81 107.03 106.27 108.73 106.47 107.22 109.21 112.56

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