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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, 2018
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   29 32 34 40 40 41 41 41 41 41 41
Closed Higher   15 12 17 18 22 23 17 17 20 17 23
Exceeded High   10 10 11 16 17 18 14 13 15 12 10
Scenario Percentage   67% 83% 65% 89% 77% 78% 82% 76% 75% 71% 43%
Avg Max Increase   3.57% 3.19% 4.11% 4.04% 5.93% 6.58% 4.60% 4.87% 4.07% 3.71% 3.19%
Max Increase   7.46% 6.77% 5.90% 9.66% 22.51% 19.42% 13.74% 9.66% 12.81% 8.20% 8.35%
Avg Days To Max Increase   17 18 17 18 19 18 18 20 14 10 6
Avg Max Decline   -0.89% -1.44% -1.35% -1.45% -0.95% -0.64% -1.57% -1.01% -1.04% -0.72% -0.19%
Max Decline   -3.95% -3.16% -3.72% -3.75% -3.68% -2.92% -6.60% -3.45% -4.19% -2.12% -0.74%
Avg Days to Max Decline   14 8 11 10 13 9 9 7 11 4 1
2017 Contract Condition   Yes   Yes Yes   Yes       Yes Yes
Action   Yes   Yes Yes   No       Yes 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   29 32 34 40 40 41 41 41 41 41 41
Closed Lower   14 20 17 22 18 18 24 24 21 24 18
Penetrated Low   10 14 12 16 15 17 21 22 19 20 14
Scenario Percentage   71% 70% 71% 73% 83% 94% 88% 92% 90% 83% 78%
Avg Max Decline   5.82% 4.12% 3.91% 3.65% 4.00% 4.22% 4.62% 3.81% 3.80% 3.11% 2.69%
Max Decline   13.48% 8.05% 14.90% 16.01% 7.87% 11.04% 11.69% 10.31% 9.71% 6.39% 4.17%
Avg Days To Max Decline   20 16 16 16 18 19 19 12 13 12 9
Avg Max Increase   -0.34% -0.68% -0.59% -1.05% -0.84% -1.14% -1.47% -0.96% -0.56% -1.21% -0.19%
Max Increase   -1.54% -1.72% -1.98% -3.44% -3.19% -3.93% -6.01% -3.08% -2.09% -4.28% -1.54%
Avg Days to Max Increase   5 9 6 8 8 11 7 8 3 7 2
2017 Contract Condition     Yes     Yes   Yes Yes Yes    
Action     No     Yes   Yes Yes Yes    
High 91.51 95.06 95.61 99.79 100.90 101.44 100.66 99.50 99.37 88.93 89.33 89.71
Low 88.85 90.68 91.06 91.45 94.14 97.55 96.76 95.29 87.76 84.62 84.54 87.04
Close/Last 90.04 94.80 91.49 97.78 98.95 97.55 99.31 95.82 87.92 85.97 88.83 89.16

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