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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, 2019
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   30 33 35 41 41 42 42 42 42 42 42
Closed Higher   15 13 17 19 23 23 17 18 20 18 24
Exceeded High   10 11 11 17 18 18 14 14 15 13 14
Scenario Percentage   67% 85% 65% 89% 78% 78% 82% 78% 75% 72% 58%
Avg Max Increase   3.57% 3.02% 4.11% 3.95% 5.73% 6.58% 4.60% 4.78% 4.07% 4.12% 3.08%
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   17 17 17 17 18 18 18 20 14 9 8
Avg Max Decline   -0.89% -1.39% -1.35% -1.41% -0.92% -0.64% -1.57% -1.01% -1.04% -0.76% -0.43%
Max Decline   -3.95% -3.16% -3.72% -3.75% -3.68% -2.92% -6.60% -3.45% -4.19% -2.12% -1.88%
Avg Days to Max Decline   14 7 11 9 13 9 9 7 11 4 2
2018 Contract Condition     Yes   Yes Yes     Yes   Yes Yes
Action     Yes   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   30 33 35 41 41 42 42 42 42 42 42
Closed Lower   15 20 18 22 18 19 25 24 22 24 18
Penetrated Low   11 14 13 16 15 18 22 22 19 20 14
Scenario Percentage   73% 70% 72% 73% 83% 95% 88% 92% 86% 83% 78%
Avg Max Decline   5.54% 4.12% 3.73% 3.65% 4.00% 4.10% 4.45% 3.81% 3.80% 3.24% 2.97%
Max Decline   13.48% 8.05% 14.90% 16.01% 7.87% 11.04% 11.69% 10.31% 9.71% 6.39% 4.89%
Avg Days To Max Decline   19 16 16 16 18 19 19 12 13 12 11
Avg Max Increase   -0.27% -0.68% -0.56% -1.05% -0.84% -1.12% -1.40% -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 6 8 3 7 2
2018 Contract Condition   Yes   Yes     Yes Yes   Yes    
Action   Yes   Yes     Yes Yes   No    
High 92.31 93.83 91.90 92.93 91.77 93.30 94.01 90.26 90.73 90.23 92.60 94.91
Low 88.44 91.03 88.81 89.74 88.51 91.17 89.12 88.08 87.83 88.41 88.50 90.73
Close/Last 91.43 91.24 91.77 89.93 91.77 91.87 89.67 88.60 89.38 89.14 91.89 93.86

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