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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, 2016
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   17 17 17 17 17 17 17 17 17 17 17
Closed Higher   6 9 7 9 6 10 7 9 10 9 8
Exceeded High   5 7 7 6 4 7 7 6 8 7 6
Scenario Percentage   83% 78% 100% 67% 67% 70% 100% 67% 80% 78% 75%
Avg Max Increase   3.39% 3.76% 5.59% 4.17% 4.04% 3.42% 3.71% 3.62% 3.87% 3.46% 2.04%
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 18 17 17 18 15 19 13 9
Avg Max Decline   -1.03% -0.93% -1.15% -0.95% -1.33% -1.38% -1.35% -0.97% -1.23% -0.83% -0.51%
Max Decline   -2.89% -2.54% -2.95% -2.75% -2.69% -3.03% -3.54% -2.82% -2.19% -2.33% -0.95%
Avg Days to Max Decline   9 5 9 4 9 7 17 4 13 8 2
2015 Contract Condition         Yes   Yes   Yes      
Action         Yes   Yes   No      
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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   17 17 17 17 17 17 17 17 17 17 17
Closed Lower   11 8 10 8 11 7 10 8 7 8 9
Penetrated Low   8 6 9 6 10 5 7 6 7 6 4
Scenario Percentage   73% 75% 90% 75% 91% 71% 70% 75% 100% 75% 44%
Avg Max Decline   4.12% 4.75% 4.83% 5.36% 2.42% 2.89% 5.55% 5.55% 4.89% 3.31% 1.72%
Max Decline   7.26% 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   19 20 22 13 13 13 14 18 17 10 7
Avg Max Increase   -1.50% -0.62% -1.11% -0.66% -1.80% -0.59% -0.91% -0.95% -1.07% -0.64% -1.35%
Max Increase   -3.56% -1.50% -2.59% -2.11% -4.05% -2.31% -1.80% -1.94% -2.92% -1.34% -3.86%
Avg Days to Max Increase   6 6 11 4 13 5 6 5 6 4 1
2015 Contract Condition   Yes Yes Yes   Yes   Yes   Yes Yes Yes
Action   Yes Yes No   Yes   No   Yes Yes Yes
High 125.90 121.00 115.42 112.80 113.00 115.01 114.61 112.41 117.33 114.76 115.05 110.59
Low 121.58 111.60 112.51 105.20 105.70 108.63 109.23 108.34 108.71 111.06 109.04 105.60
Close/Last 121.58 113.44 112.51 107.91 113.00 110.15 111.73 109.88 112.56 111.79 110.09 105.76

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