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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 Aug 18, 2023
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   35 38 40 45 45 45 45 45 45 45 45
Closed Higher   16 16 18 21 24 22 18 20 22 21 24
Exceeded High   10 12 12 19 17 18 15 15 17 13 10
Scenario Percentage   63% 75% 67% 90% 71% 82% 83% 75% 77% 62% 42%
Avg Max Increase   3.57% 2.84% 3.99% 3.64% 5.58% 6.12% 4.26% 4.86% 3.70% 4.03% 3.80%
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 18 15 17 17 19 20 12 9 6
Avg Max Decline   -0.89% -1.30% -1.36% -1.29% -0.96% -0.69% -1.58% -0.99% -1.19% -1.03% -0.24%
Max Decline   -3.95% -3.16% -3.72% -3.75% -3.68% -2.92% -6.60% -3.45% -4.19% -3.56% -0.70%
Avg Days to Max Decline   14 8 12 8 13 9 10 7 10 6 1
2023 Contract Condition     Yes   Yes       Yes Yes Yes  
Action     No   Yes       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   35 38 40 45 45 45 45 45 45 45 45
Closed Lower   19 22 22 24 21 23 27 25 23 24 21
Penetrated Low   14 16 16 18 17 22 23 22 20 21 17
Scenario Percentage   74% 73% 73% 75% 81% 96% 85% 88% 87% 88% 81%
Avg Max Decline   5.03% 3.82% 3.36% 3.37% 4.30% 3.86% 4.33% 3.84% 3.67% 3.17% 2.49%
Max Decline   13.48% 8.05% 14.90% 16.01% 8.87% 11.04% 11.69% 10.31% 9.71% 6.39% 4.17%
Avg Days To Max Decline   19 14 16 16 18 19 20 13 13 12 9
Avg Max Increase   -0.54% -0.65% -0.71% -1.08% -0.76% -1.11% -1.41% -1.02% -0.60% -1.17% -0.21%
Max Increase   -2.24% -1.72% -3.72% -3.44% -3.19% -3.93% -6.01% -3.08% -2.09% -4.28% -1.54%
Avg Days to Max Increase   8 8 7 9 8 11 6 10 4 7 2
2023 Contract Condition   Yes   Yes   Yes Yes Yes       Yes
Action   Yes   Yes   Yes Yes No       Yes
High 88.49 83.43 80.79 78.84 77.16 78.39 73.30 71.07 73.81 77.47 79.19 78.47
Low 81.68 77.92 77.84 74.90 73.61 73.47 70.02 67.10 68.42 73.21 74.83 73.16
Close/Last 83.84 79.02 79.37 75.58 76.68 73.63 70.49 68.52 73.50 77.07 77.24 73.60

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