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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Japanese Yen(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   25 27 29 35 36 37 37 37 37 37 37
Closed Higher   12 18 17 17 17 19 14 19 16 18 14
Exceeded High   10 14 14 13 14 16 11 15 11 12 8
Scenario Percentage   83% 78% 82% 76% 82% 84% 79% 79% 69% 67% 57%
Avg Max Increase   3.75% 5.69% 7.01% 4.85% 4.52% 3.42% 5.29% 6.44% 4.44% 4.18% 2.25%
Max Increase   9.36% 22.09% 19.14% 13.75% 9.70% 12.98% 10.78% 19.42% 10.41% 11.16% 4.62%
Avg Days To Max Increase   17 18 18 20 19 12 18 16 18 13 10
Avg Max Decline   -1.09% -0.70% -0.60% -1.36% -1.10% -1.21% -1.17% -0.78% -1.10% -0.64% -0.39%
Max Decline   -2.84% -3.57% -2.89% -6.37% -3.34% -4.02% -5.98% -3.20% -3.17% -1.10% -0.99%
Avg Days to Max Decline   9 11 6 11 10 9 8 9 5 5 2
2013 Contract Condition   Yes   Yes                
Action   Yes   No                
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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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   25 27 29 35 36 37 37 37 37 37 37
Closed Lower   13 9 12 18 19 18 23 18 21 19 23
Penetrated Low   9 6 12 16 17 17 20 15 18 15 15
Scenario Percentage   69% 67% 100% 89% 89% 94% 87% 83% 86% 79% 65%
Avg Max Decline   3.71% 3.60% 2.93% 4.07% 4.29% 4.09% 4.06% 5.27% 3.69% 4.27% 2.25%
Max Decline   16.02% 7.00% 5.74% 8.63% 10.23% 9.06% 9.59% 10.19% 9.34% 13.03% 5.97%
Avg Days To Max Decline   18 17 20 21 16 14 22 12 14 12 9
Avg Max Increase   -1.16% -0.44% -0.42% -1.44% -0.82% -0.57% -1.56% -0.76% -0.93% -0.47% -0.63%
Max Increase   -2.75% -1.16% -1.73% -4.98% -3.44% -2.07% -4.15% -4.50% -3.24% -1.90% -1.81%
Avg Days to Max Increase   9 4 10 8 9 3 11 5 8 4 2
2013 Contract Condition     Yes   Yes Yes Yes Yes Yes Yes Yes Yes
Action     Yes   Yes Yes Yes Yes Yes Yes Yes Not Yet
High 129.16 128.66 128.59 129.53 128.63 126.36 122.42 115.58 110.14 108.24 108.09 103.10
Low 125.09 125.89 126.25 127.18 124.87 121.49 115.53 109.16 106.00 103.45 100.08 96.40
Close/Last 125.98 128.59 128.11 128.63 125.67 121.60 115.58 109.53 107.97 106.33 102.58 99.34

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