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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 Dec 30, 2016
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   28 30 32 38 39 40 40 40 40 40 40
Closed Higher   13 19 18 17 17 20 16 21 17 21 15
Exceeded High   11 14 15 13 14 17 12 16 12 14 8
Scenario Percentage   85% 74% 83% 76% 82% 85% 75% 76% 71% 67% 53%
Avg Max Increase   3.55% 5.69% 6.64% 4.85% 4.52% 3.70% 4.98% 6.47% 4.61% 3.69% 2.06%
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   16 18 18 20 19 12 16 17 17 13 9
Avg Max Decline   -1.15% -0.70% -0.60% -1.36% -1.10% -1.22% -1.07% -0.77% -1.01% -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   8 11 6 11 10 10 7 8 4 4 2
2016 Contract Condition     Yes Yes     Yes   Yes Yes Yes  
Action     No Yes     Yes   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   28 30 32 38 39 40 40 40 40 40 40
Closed Lower   15 11 14 21 22 20 24 19 23 19 25
Penetrated Low   11 8 14 19 20 17 20 16 20 15 15
Scenario Percentage   73% 73% 100% 90% 91% 85% 83% 84% 87% 79% 60%
Avg Max Decline   3.69% 3.90% 3.36% 4.33% 3.94% 4.09% 4.06% 5.06% 3.56% 4.05% 2.02%
Max Decline   16.02% 7.37% 7.68% 8.63% 10.23% 9.06% 9.59% 10.19% 9.34% 11.64% 4.47%
Avg Days To Max Decline   18 18 20 20 16 14 22 12 14 12 8
Avg Max Increase   -1.05% -0.24% -0.73% -1.21% -0.79% -0.57% -1.56% -0.73% -0.90% -0.47% -0.57%
Max Increase   -2.75% -1.16% -3.81% -4.98% -3.44% -2.07% -4.15% -4.50% -3.24% -1.90% -1.81%
Avg Days to Max Increase   8 4 11 7 8 3 11 5 8 4 2
2016 Contract Condition   Yes     Yes Yes   Yes       Yes
Action   Yes     Yes Yes   No       Not Yet
High 82.37 83.57 86.24 84.61 85.10 83.52 83.69 86.53 90.45 90.57 94.21 94.83
Low 80.32 80.95 80.45 82.98 82.78 81.41 81.26 82.48 82.62 87.56 89.00 89.75
Close/Last 82.37 81.20 83.09 83.81 83.26 81.69 83.57 82.87 88.93 89.04 93.78 90.45

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