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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June EuroFX(CME) as of Nov 09, 2020
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   20 20 20 20 21 21 22 22 22 22 22
Closed Higher   10 9 10 10 8 13 8 10 10 11 8
Exceeded High   9 7 8 9 6 8 7 8 9 9 6
Scenario Percentage   90% 78% 80% 90% 75% 62% 88% 80% 90% 82% 75%
Avg Max Increase   3.08% 3.12% 3.69% 3.51% 5.07% 3.55% 2.88% 4.04% 5.33% 2.85% 1.92%
Max Increase   6.39% 5.50% 7.34% 7.06% 9.95% 4.57% 6.98% 7.84% 9.75% 6.89% 3.39%
Avg Days To Max Increase   16 13 19 22 21 11 18 21 20 12 9
Avg Max Decline   -1.19% -0.67% -1.05% -0.97% -0.78% -1.52% -1.58% -1.07% -1.38% -0.77% -0.45%
Max Decline   -2.98% -2.62% -1.93% -2.17% -1.46% -3.69% -2.99% -2.73% -3.07% -2.80% -0.82%
Avg Days to Max Decline   16 3 12 10 7 6 12 7 8 4 3
2020 Contract Condition         Yes   Yes         Yes
Action         Yes   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   20 20 20 20 21 21 22 22 22 22 22
Closed Lower   10 11 10 10 13 8 14 12 12 11 14
Penetrated Low   6 9 10 9 10 7 10 11 10 8 7
Scenario Percentage   60% 82% 100% 90% 77% 88% 71% 92% 83% 73% 50%
Avg Max Decline   4.94% 3.71% 3.61% 3.01% 3.31% 4.33% 4.22% 3.76% 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   18 17 15 13 19 20 17 18 24 13 8
Avg Max Increase   -0.82% -0.76% -0.85% -0.68% -2.20% -1.04% -1.82% -1.02% -1.33% -0.67% -0.58%
Max Increase   -1.44% -1.74% -2.80% -2.95% -3.76% -2.76% -3.74% -4.07% -2.96% -2.33% -0.98%
Avg Days to Max Increase   8 8 5 10 19 4 9 9 11 4 3
2020 Contract Condition   Yes Yes Yes   Yes   Yes Yes Yes Yes  
Action   Yes Yes Yes   Yes   Yes Yes No Not Yet  
High 116.89 115.98 114.72 112.93 113.47 113.31 113.56 113.39 111.79 115.45 110.70 111.49
Low 114.79 113.50 112.06 110.94 110.85 111.25 111.48 110.86 108.53 106.71 107.39 107.74
Close/Last 116.67 113.64 112.06 111.02 113.05 111.59 113.46 111.79 110.94 110.50 109.62 111.01

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