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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Japanese Yen(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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   25 28 30 36 36 37 37 37 37 37 37
Closed Higher   12 11 13 16 21 21 17 17 19 14 20
Exceeded High   8 9 9 14 17 17 14 13 14 10 13
Scenario Percentage   67% 82% 69% 88% 81% 81% 82% 76% 74% 71% 65%
Avg Max Increase   3.67% 3.47% 4.08% 4.33% 5.93% 6.88% 4.60% 4.87% 3.77% 4.75% 3.21%
Max Increase   7.46% 6.77% 5.90% 9.66% 22.51% 19.42% 13.74% 9.66% 12.81% 10.77% 9.86%
Avg Days To Max Increase   15 17 16 19 19 18 18 20 14 11 9
Avg Max Decline   -0.54% -1.49% -0.97% -1.49% -0.95% -0.65% -1.57% -1.01% -0.99% -0.75% -0.42%
Max Decline   -1.33% -3.16% -2.63% -3.75% -3.68% -2.92% -6.60% -3.45% -4.19% -2.12% -1.88%
Avg Days to Max Decline   9 8 6 11 13 9 9 7 10 5 2
2013 Contract Condition   Yes Yes   Yes   Yes          
Action   Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   25 28 30 36 36 37 37 37 37 37 37
Closed Lower   13 17 17 20 15 16 20 20 18 23 17
Penetrated Low   9 13 12 14 12 15 17 18 17 20 13
Scenario Percentage   69% 76% 71% 70% 80% 94% 85% 90% 94% 87% 76%
Avg Max Decline   5.85% 4.33% 3.91% 3.65% 4.00% 3.97% 3.99% 4.09% 4.14% 3.23% 3.04%
Max Decline   13.48% 8.05% 14.90% 16.01% 7.87% 11.04% 8.76% 10.31% 9.71% 6.39% 4.89%
Avg Days To Max Decline   19 17 16 15 17 19 20 13 15 12 10
Avg Max Increase   -0.37% -0.73% -0.59% -1.12% -0.84% -0.93% -1.55% -0.89% -0.60% -1.21% -0.18%
Max Increase   -1.54% -1.72% -1.98% -3.44% -1.62% -2.39% -6.01% -3.08% -2.09% -4.28% -1.54%
Avg Days to Max Increase   6 9 6 8 7 11 7 8 3 7 2
2013 Contract Condition       Yes   Yes   Yes Yes Yes Yes Yes
Action       No   Yes   Yes Yes Yes Yes Yes
High 124.57 126.00 128.32 128.75 128.44 128.39 129.50 128.63 126.58 122.49 115.31 110.09
Low 120.00 121.10 125.15 124.76 125.65 126.05 126.46 124.63 120.88 115.27 108.97 105.88
Close/Last 121.31 125.95 128.32 125.73 128.39 127.93 128.47 125.54 121.49 115.50 109.45 107.90

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