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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 Jul 01, 2022
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   34 37 39 45 45 45 45 45 45 45 45
Closed Higher   16 15 18 21 25 23 19 20 22 20 25
Exceeded High   10 12 12 19 18 19 16 15 17 13 13
Scenario Percentage   63% 80% 67% 90% 72% 83% 84% 75% 77% 65% 52%
Avg Max Increase   3.57% 2.84% 3.99% 3.67% 5.73% 6.35% 4.29% 4.57% 3.62% 4.16% 3.40%
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 19 11 9 8
Avg Max Decline   -0.89% -1.30% -1.36% -1.31% -0.92% -0.64% -1.51% -0.97% -0.96% -1.03% -0.45%
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 6 2
2022 Contract Condition   Yes     Yes       Yes   Yes Yes
Action   No     Yes       No   Not Yet 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   34 37 39 45 45 45 45 45 45 45 45
Closed Lower   18 22 21 24 20 22 26 25 23 25 20
Penetrated Low   13 16 15 18 16 21 23 22 20 21 16
Scenario Percentage   72% 73% 71% 75% 80% 95% 88% 88% 87% 84% 80%
Avg Max Decline   5.02% 3.82% 3.40% 3.37% 4.01% 3.82% 4.33% 3.84% 3.67% 3.19% 2.65%
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   18 14 15 16 18 19 20 13 13 12 10
Avg Max Increase   -0.40% -0.65% -0.51% -1.08% -0.84% -1.13% -1.41% -1.02% -0.60% -1.17% -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   7 8 6 9 8 11 6 10 4 7 2
2022 Contract Condition     Yes Yes   Yes Yes Yes   Yes    
Action     Yes Yes   Yes Yes Yes   Yes    
High 94.36 93.33 92.53 91.79 91.91 92.16 91.81 90.35 88.99 88.94 88.17 87.65
Low 90.70 90.82 91.13 90.27 89.83 90.48 89.38 87.33 86.70 86.73 85.98 85.96
Close/Last 90.72 91.84 91.34 90.28 91.32 91.11 89.91 87.91 88.54 86.98 86.99 87.07

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