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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December EuroFX(CME) as of Jun 23, 2023
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   24 24 24 24 24 24 24 24 24 24 24
Closed Higher   8 10 10 12 10 13 12 11 11 11 11
Exceeded High   7 8 9 9 6 9 10 8 8 8 8
Scenario Percentage   88% 80% 90% 75% 60% 69% 83% 73% 73% 73% 73%
Avg Max Increase   2.66% 3.87% 5.13% 3.67% 4.71% 3.96% 3.14% 2.98% 3.87% 4.07% 2.19%
Max Increase   6.48% 7.39% 9.72% 10.97% 9.55% 8.58% 6.59% 5.58% 7.26% 8.21% 3.26%
Avg Days To Max Increase   18 21 19 18 22 19 15 13 19 13 11
Avg Max Decline   -1.39% -0.94% -1.18% -0.72% -1.08% -1.23% -1.30% -0.82% -1.23% -0.93% -0.43%
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 7 2
2022 Contract Condition           Yes         Yes Yes
Action           No         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   24 24 24 24 24 24 24 24 24 24 24
Closed Lower   16 14 14 12 14 11 12 13 13 13 13
Penetrated Low   12 12 11 9 13 8 9 11 12 11 5
Scenario Percentage   75% 86% 79% 75% 93% 73% 75% 85% 92% 85% 38%
Avg Max Decline   3.99% 3.96% 4.67% 4.52% 2.26% 3.19% 5.36% 4.38% 3.76% 2.82% 1.82%
Max Decline   7.26% 7.01% 9.94% 10.42% 3.67% 5.93% 10.80% 15.36% 12.79% 5.63% 3.65%
Avg Days To Max Decline   18 21 21 15 16 15 17 18 14 11 8
Avg Max Increase   -1.51% -0.82% -0.99% -0.53% -1.82% -0.55% -1.01% -1.11% -0.89% -0.95% -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   10 8 10 3 14 8 6 8 9 4 3
2022 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes Yes    
Action   Yes Yes Yes Yes   Yes Yes Yes No    
High 115.05 116.00 116.40 113.75 112.34 109.17 108.93 106.15 104.67 102.65 101.32 105.14
Low 113.56 112.61 112.54 109.54 106.29 104.96 105.07 100.76 99.86 95.92 96.75 97.61
Close/Last 115.05 113.78 113.73 112.30 107.28 108.66 106.14 103.25 101.20 98.62 99.24 104.29

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