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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 Jun 08, 2020
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   32 35 37 43 43 44 44 44 44 44 44
Closed Higher   15 15 18 19 25 23 18 18 22 20 25
Exceeded High   10 12 12 17 18 18 15 14 17 14 15
Scenario Percentage   67% 80% 67% 89% 72% 78% 83% 78% 77% 70% 60%
Avg Max Increase   3.57% 2.84% 3.99% 3.95% 5.73% 6.58% 4.46% 4.78% 3.83% 4.04% 3.05%
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   17 18 18 17 18 18 19 20 13 9 8
Avg Max Decline   -0.89% -1.30% -1.36% -1.41% -0.92% -0.64% -1.55% -1.01% -0.95% -0.96% -0.44%
Max Decline   -3.95% -3.16% -3.72% -3.75% -3.68% -2.92% -6.60% -3.45% -4.19% -3.56% -1.88%
Avg Days to Max Decline   14 8 12 9 13 9 9 7 10 5 2
2020 Contract Condition     Yes Yes   Yes       Yes Yes Yes
Action     Yes Yes   No       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   32 35 37 43 43 44 44 44 44 44 44
Closed Lower   17 20 19 24 18 21 26 26 22 24 19
Penetrated Low   12 14 14 18 15 20 23 23 19 20 15
Scenario Percentage   71% 70% 74% 75% 83% 95% 88% 88% 86% 83% 79%
Avg Max Decline   5.23% 4.12% 3.60% 3.37% 4.00% 3.83% 4.34% 3.70% 3.80% 3.23% 2.80%
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 13 13 12 10
Avg Max Increase   -0.31% -0.68% -0.54% -1.08% -0.84% -1.16% -1.35% -0.97% -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 11 6 9 3 7 2
2020 Contract Condition   Yes     Yes   Yes Yes Yes      
Action   No     Yes   Yes Yes Yes      
High 93.66 92.57 94.23 95.13 94.88 96.96 95.79 94.92 93.48 92.94 93.24 93.10
Low 92.09 91.33 91.86 93.86 93.50 93.13 93.36 92.33 91.82 91.61 90.94 89.21
Close/Last 92.74 92.06 94.23 94.50 93.50 95.42 93.60 93.39 92.03 92.46 92.50 92.82

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