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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 Oct 20, 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   31 34 36 42 42 43 43 43 43 43 43
Closed Higher   15 14 17 19 24 23 18 18 21 19 24
Exceeded High   10 11 11 17 18 18 15 14 16 13 14
Scenario Percentage   67% 79% 65% 89% 75% 78% 83% 78% 76% 68% 58%
Avg Max Increase   3.57% 3.02% 4.11% 3.95% 5.73% 6.58% 4.46% 4.78% 4.01% 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 19 20 13 9 8
Avg Max Decline   -0.89% -1.39% -1.35% -1.41% -0.92% -0.64% -1.55% -1.01% -0.97% -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 10 4 2
2019 Contract Condition     Yes     Yes   Yes   Yes Yes  
Action     No     No   Yes   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   31 34 36 42 42 43 43 43 43 43 43
Closed Lower   16 20 19 23 18 20 25 25 22 24 19
Penetrated Low   12 14 14 17 15 19 22 22 19 20 15
Scenario Percentage   75% 70% 74% 74% 83% 95% 88% 88% 86% 83% 79%
Avg Max Decline   5.23% 4.12% 3.60% 3.55% 4.00% 3.93% 4.45% 3.81% 3.80% 3.23% 2.81%
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 17 18 18 19 12 13 12 10
Avg Max Increase   -0.31% -0.68% -0.54% -1.07% -0.84% -1.15% -1.40% -0.96% -0.56% -1.21% -0.18%
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   7 9 6 9 8 12 6 8 3 7 2
2019 Contract Condition   Yes   Yes Yes   Yes   Yes     Yes
Action   Yes   Yes Yes   Yes   No     Yes
High 98.05 97.05 94.48 93.49 92.32 92.20 91.59 90.79 89.91 91.82 94.59 92.28
Low 96.08 93.66 92.07 92.02 90.27 90.88 89.22 88.52 88.45 88.65 91.30 89.80
Close/Last 96.47 93.81 94.12 92.02 91.01 91.48 89.27 89.50 88.84 91.71 92.16 89.88

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