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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, 2016
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   27 30 32 38 38 39 39 39 39 39 39
Closed Higher   13 12 15 17 21 21 17 17 19 16 21
Exceeded High   9 10 9 15 17 17 14 13 14 11 13
Scenario Percentage   69% 83% 60% 88% 81% 81% 82% 76% 74% 69% 62%
Avg Max Increase   3.38% 3.19% 4.08% 4.14% 5.93% 6.88% 4.60% 4.87% 3.77% 4.11% 2.92%
Max Increase   7.46% 6.77% 5.90% 9.66% 22.51% 19.42% 13.74% 9.66% 12.81% 8.91% 8.35%
Avg Days To Max Increase   16 18 16 18 19 18 18 20 14 10 8
Avg Max Decline   -0.55% -1.44% -0.97% -1.50% -0.95% -0.65% -1.57% -1.01% -0.99% -0.69% -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   12 8 6 10 13 9 9 7 10 5 2
2015 Contract Condition   Yes Yes Yes             Yes  
Action   Yes Yes No             Not Yet  
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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   27 30 32 38 38 39 39 39 39 39 39
Closed Lower   14 18 17 21 17 18 22 22 20 23 18
Penetrated Low   10 13 12 15 14 17 19 20 18 20 14
Scenario Percentage   71% 72% 71% 71% 82% 94% 86% 91% 90% 87% 78%
Avg Max Decline   5.82% 4.33% 3.91% 3.82% 4.12% 4.22% 4.34% 3.95% 3.92% 3.23% 2.96%
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   20 17 16 16 17 19 20 13 14 12 10
Avg Max Increase   -0.34% -0.73% -0.59% -1.11% -0.68% -1.14% -1.41% -0.88% -0.61% -1.21% -0.19%
Max Increase   -1.54% -1.72% -1.98% -3.44% -1.62% -3.93% -6.01% -3.08% -2.09% -4.28% -1.54%
Avg Days to Max Increase   5 9 6 8 7 11 7 8 3 7 2
2015 Contract Condition         Yes Yes Yes Yes Yes Yes   Yes
Action         Yes Yes Yes Yes Yes No   Yes
High 99.01 98.80 99.00 99.21 98.96 98.36 95.55 94.89 88.93 86.63 86.37 85.61
Low 97.09 96.48 97.97 97.58 97.40 96.13 91.26 89.06 84.18 82.19 82.86 83.02
Close/Last 97.13 98.15 98.55 98.96 97.41 96.21 91.30 89.19 84.33 83.49 85.14 83.54

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