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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, 2015
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   16 16 16 16 16 16 16 16 16 16 16
Closed Higher   6 9 7 8 6 9 7 8 10 9 8
Exceeded High   5 7 7 5 4 6 7 6 8 7 6
Scenario Percentage   83% 78% 100% 63% 67% 67% 100% 75% 80% 78% 75%
Avg Max Increase   3.39% 3.76% 5.59% 4.65% 4.04% 3.16% 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 23 21 19 17 16 18 15 19 13 11
Avg Max Decline   -1.03% -0.93% -1.15% -0.81% -1.33% -1.10% -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 5 9 4 9 4 17 4 13 8 2
2014 Contract Condition     Yes   Yes   Yes          
Action     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   16 16 16 16 16 16 16 16 16 16 16
Closed Lower   10 7 9 8 10 7 9 8 6 7 8
Penetrated Low   7 5 9 6 9 5 7 6 6 5 3
Scenario Percentage   70% 71% 100% 75% 90% 71% 78% 75% 100% 71% 38%
Avg Max Decline   3.67% 4.40% 4.83% 5.36% 2.51% 2.89% 5.55% 5.55% 4.78% 3.03% 2.02%
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 22 13 13 13 14 18 15 11 8
Avg Max Increase   -1.47% -0.69% -1.11% -0.66% -1.55% -0.59% -0.91% -0.95% -0.76% -0.68% -0.51%
Max Increase   -3.56% -1.50% -2.59% -2.11% -3.29% -2.31% -1.80% -1.94% -2.04% -1.34% -0.85%
Avg Days to Max Increase   7 7 11 4 12 5 6 5 5 5 1
2014 Contract Condition   Yes   Yes   Yes   Yes Yes Yes Yes Yes
Action   No   Yes   Yes   Yes Yes Yes Yes Yes
High 138.11 137.96 138.25 139.47 139.00 139.80 137.04 137.09 134.51 131.70 128.93 126.05
Low 135.52 134.93 134.93 137.36 136.89 135.92 135.10 133.75 131.43 125.78 124.89 123.61
Close/Last 137.96 134.93 138.25 137.74 138.67 136.37 137.03 133.97 131.43 126.35 125.30 124.36

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