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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December EuroFX(CME) as of May 10, 2021
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   22 22 22 22 22 22 22 22 22 22 22
Closed Higher   8 10 10 11 8 13 11 11 11 10 10
Exceeded High   7 8 9 8 6 9 10 8 8 7 7
Scenario Percentage   88% 80% 90% 73% 75% 69% 91% 73% 73% 70% 70%
Avg Max Increase   2.66% 3.87% 5.13% 3.89% 4.71% 3.96% 3.14% 2.98% 3.87% 3.46% 2.02%
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   18 21 19 17 22 19 15 13 19 13 8
Avg Max Decline   -1.39% -0.94% -1.18% -0.77% -1.08% -1.23% -1.30% -0.82% -1.23% -0.83% -0.46%
Max Decline   -2.92% -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   12 6 10 5 9 6 14 3 13 8 2
2020 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   22 22 22 22 22 22 22 22 22 22 22
Closed Lower   14 12 12 11 14 9 11 11 11 12 12
Penetrated Low   10 10 10 8 13 6 8 9 11 10 5
Scenario Percentage   71% 83% 83% 73% 93% 67% 73% 82% 100% 83% 42%
Avg Max Decline   4.05% 3.78% 4.49% 4.82% 2.26% 2.99% 5.15% 4.49% 3.79% 2.65% 1.57%
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   18 19 22 15 16 13 16 18 13 9 8
Avg Max Increase   -1.50% -0.96% -1.09% -0.52% -1.82% -0.65% -0.97% -1.10% -0.89% -1.00% -1.60%
Max Increase   -3.56% -3.68% -2.59% -2.11% -4.05% -2.31% -1.80% -1.94% -2.92% -3.00% -3.86%
Avg Days to Max Increase   9 9 11 3 14 5 6 8 7 5 3
2020 Contract Condition   Yes Yes Yes Yes         Yes Yes  
Action   Yes Yes No No         Yes Yes  
High 114.80 114.28 112.79 116.01 111.21 111.92 114.66 119.42 119.95 120.38 118.95 120.08
Low 113.03 112.04 109.71 107.30 107.89 108.24 111.50 112.26 117.29 116.31 116.51 116.13
Close/Last 114.72 112.92 111.89 111.09 110.08 111.46 112.77 118.21 119.63 117.36 116.55 119.51

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