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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June EuroFX(CME) as of Oct 20, 2019
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   19 19 19 19 20 20 21 21 21 21 21
Closed Higher   10 9 10 9 8 12 8 10 10 11 7
Exceeded High   9 7 8 8 6 8 7 8 9 9 6
Scenario Percentage   90% 78% 80% 89% 75% 67% 88% 80% 90% 82% 86%
Avg Max Increase   3.08% 3.12% 3.69% 3.89% 5.07% 3.55% 2.88% 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   16 13 19 20 21 11 18 21 20 11 10
Avg Max Decline   -1.19% -0.67% -1.05% -0.89% -0.78% -1.52% -1.58% -1.07% -1.38% -0.77% -0.68%
Max Decline   -2.98% -2.62% -1.93% -2.17% -1.46% -3.69% -2.99% -2.73% -3.07% -2.80% -1.31%
Avg Days to Max Decline   16 3 12 7 7 6 12 7 8 4 3
2019 Contract Condition   Yes         Yes          
Action   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   19 19 19 19 20 20 21 21 21 21 21
Closed Lower   9 10 9 10 12 8 13 11 11 10 14
Penetrated Low   5 8 9 9 9 7 9 10 10 8 7
Scenario Percentage   56% 80% 100% 90% 75% 88% 69% 91% 91% 80% 50%
Avg Max Decline   5.46% 4.04% 3.99% 3.01% 3.61% 4.33% 4.18% 3.75% 4.59% 4.87% 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 19 17 13 18 20 16 17 24 13 8
Avg Max Increase   -0.80% -0.75% -0.91% -0.68% -2.25% -1.04% -1.66% -0.71% -1.33% -0.67% -0.58%
Max Increase   -1.44% -1.74% -2.80% -2.95% -3.76% -2.76% -3.74% -2.05% -2.96% -2.33% -0.98%
Avg Days to Max Increase   8 8 6 10 18 4 6 9 11 4 3
2019 Contract Condition     Yes Yes Yes Yes   Yes Yes Yes Yes Yes
Action     Yes Yes Yes Yes   Yes Yes Yes Yes Not Yet
High 121.88 121.11 120.12 120.69 118.80 117.27 116.65 117.22 116.20 115.35 113.86 113.11
Low 118.71 119.00 116.05 118.16 115.51 114.54 114.54 114.32 113.50 112.70 111.57 111.27
Close/Last 120.11 120.14 118.80 118.78 115.51 115.10 116.14 115.76 114.81 112.89 112.67 111.87

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