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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December EuroFX(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   15 15 15 15 15 15 15 15 15 15 15
Closed Higher   6 8 7 7 6 8 7 8 10 9 8
Exceeded High   5 6 7 4 4 5 7 6 8 7 6
Scenario Percentage   83% 75% 100% 57% 67% 63% 100% 75% 80% 78% 75%
Avg Max Increase   3.39% 4.24% 5.59% 5.61% 4.04% 3.78% 3.71% 3.62% 3.87% 3.46% 2.09%
Max Increase   6.48% 7.39% 9.72% 10.97% 9.55% 8.58% 6.59% 5.58% 7.26% 5.35% 3.26%
Avg Days To Max Increase   17 24 21 22 17 20 18 15 19 13 11
Avg Max Decline   -1.03% -0.98% -1.15% -0.91% -1.33% -1.30% -1.35% -0.97% -1.23% -0.83% -0.51%
Max Decline   -2.89% -2.54% -2.95% -2.75% -2.69% -2.06% -3.54% -2.82% -2.19% -2.33% -0.95%
Avg Days to Max Decline   9 6 9 5 9 5 17 4 13 8 2
2013 Contract Condition   Yes     Yes   Yes Yes   Yes Yes  
Action   Yes     Yes   Yes Yes   Yes Not Yet  
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   15 15 15 15 15 15 15 15 15 15 15
Closed Lower   9 7 8 8 9 7 8 7 5 6 7
Penetrated Low   7 5 8 6 8 5 6 5 5 4 2
Scenario Percentage   78% 71% 100% 75% 89% 71% 75% 71% 100% 67% 29%
Avg Max Decline   3.67% 4.40% 5.27% 5.36% 2.58% 2.89% 5.45% 5.67% 5.31% 3.22% 2.28%
Max Decline   6.25% 7.01% 9.94% 10.42% 3.67% 5.93% 10.80% 15.36% 12.79% 5.38% 3.65%
Avg Days To Max Decline   20 21 21 13 11 13 11 15 17 12 8
Avg Max Increase   -1.47% -0.69% -1.07% -0.66% -1.68% -0.59% -1.00% -1.10% -0.50% -0.69% -0.48%
Max Increase   -3.56% -1.50% -2.59% -2.11% -3.29% -2.31% -1.80% -1.94% -1.58% -1.34% -0.85%
Avg Days to Max Increase   7 7 7 4 10 5 7 6 3 1 1
2013 Contract Condition     Yes Yes   Yes     Yes     Yes
Action     Yes Yes   Yes     Yes     Not Yet
High 133.01 135.90 137.17 131.60 132.14 132.50 134.26 133.50 134.58 135.73 138.34 136.23
Low 129.85 130.72 130.86 127.89 127.75 128.23 129.86 127.60 131.79 131.10 134.75 132.94
Close/Last 132.47 135.90 130.95 128.45 131.85 129.99 130.29 133.44 132.13 135.27 135.92 135.87

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