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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September EuroFX(CME) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   16 17 17 18 18 18 18 18 18 18 18
Closed Higher   9 7 10 6 10 8 10 6 10 8 9
Exceeded High   8 5 7 5 8 8 8 5 7 8 5
Scenario Percentage   89% 71% 70% 83% 80% 100% 80% 83% 70% 100% 56%
Avg Max Increase   3.74% 4.92% 3.15% 3.55% 3.97% 5.29% 3.44% 3.58% 3.48% 2.48% 2.57%
Max Increase   7.08% 9.54% 4.49% 6.78% 7.66% 9.76% 11.14% 9.75% 8.77% 6.21% 4.69%
Avg Days To Max Increase   21 21 11 17 21 19 13 12 17 11 10
Avg Max Decline   -0.69% -0.34% -1.54% -1.16% -0.98% -1.41% -0.76% -0.92% -1.40% -0.88% -0.94%
Max Decline   -2.07% -0.77% -3.84% -2.81% -2.74% -3.12% -2.77% -2.07% -3.04% -2.49% -2.83%
Avg Days to Max Decline   7 5 10 11 7 7 4 4 7 6 3
2016 Contract Condition       Yes   Yes Yes Yes     Yes  
Action       Yes   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   16 17 17 18 18 18 18 18 18 18 18
Closed Lower   7 10 7 12 8 10 8 12 8 10 9
Penetrated Low   7 7 7 8 7 8 6 11 4 7 6
Scenario Percentage   100% 70% 100% 67% 88% 80% 75% 92% 50% 70% 67%
Avg Max Decline   3.07% 4.10% 4.25% 4.29% 4.46% 5.47% 5.50% 2.43% 3.22% 4.99% 2.72%
Max Decline   5.07% 10.70% 8.23% 7.32% 7.09% 10.05% 10.71% 3.70% 5.96% 10.78% 5.13%
Avg Days To Max Decline   13 20 22 17 17 26 13 14 16 9 10
Avg Max Increase   -0.36% -2.13% -1.22% -1.63% -0.61% -1.35% -0.76% -1.92% -0.24% -0.88% -0.72%
Max Increase   -1.56% -3.65% -2.63% -3.64% -1.47% -2.82% -2.13% -4.12% -1.01% -1.67% -1.58%
Avg Days to Max Increase   9 16 5 6 6 11 4 14 2 6 2
2016 Contract Condition   Yes Yes   Yes       Yes Yes   Yes
Action   Yes Yes   No       Yes No   Not Yet
High 115.40 115.60 111.35 111.53 110.66 114.50 114.74 115.22 116.66 114.58 112.19 113.80
Low 111.97 109.90 106.66 106.47 108.04 108.97 108.97 112.72 111.41 109.47 109.76 110.64
Close/Last 112.56 110.93 106.79 109.58 109.08 109.58 114.50 115.02 111.69 111.08 112.02 111.67

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