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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, 2019
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   30 32 34 40 41 42 42 42 42 42 42
Closed Higher   15 20 19 17 18 20 18 23 18 21 17
Exceeded High   13 15 15 13 15 17 14 18 13 14 9
Scenario Percentage   87% 75% 79% 76% 83% 85% 78% 78% 72% 67% 53%
Avg Max Increase   3.36% 5.46% 6.64% 4.85% 4.45% 3.70% 4.71% 6.04% 4.48% 3.75% 2.17%
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 17 18 20 20 12 18 17 17 13 10
Avg Max Decline   -1.06% -0.67% -0.60% -1.36% -1.09% -1.22% -1.19% -0.88% -0.96% -0.64% -0.46%
Max Decline   -2.84% -3.57% -2.89% -6.37% -3.34% -4.02% -5.98% -3.20% -3.17% -1.10% -1.06%
Avg Days to Max Decline   7 11 6 11 10 10 9 9 5 4 2
2018 Contract Condition   Yes Yes     Yes   Yes Yes     Yes
Action   Yes Yes     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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   30 32 34 40 41 42 42 42 42 42 42
Closed Lower   15 12 15 23 23 22 24 19 24 21 25
Penetrated Low   11 9 15 21 21 18 20 16 21 17 16
Scenario Percentage   73% 75% 100% 91% 91% 82% 83% 84% 88% 81% 64%
Avg Max Decline   3.69% 3.72% 3.25% 4.49% 3.94% 3.96% 4.06% 5.06% 3.62% 4.05% 2.21%
Max Decline   16.02% 7.37% 7.68% 11.58% 10.23% 9.06% 9.59% 10.19% 9.34% 13.03% 5.97%
Avg Days To Max Decline   18 19 19 18 15 14 22 12 14 12 9
Avg Max Increase   -1.05% -0.57% -0.72% -1.27% -0.80% -0.52% -1.56% -0.73% -0.89% -0.46% -0.60%
Max Increase   -2.75% -3.20% -3.81% -4.98% -3.44% -2.07% -4.15% -4.50% -3.24% -1.90% -1.81%
Avg Days to Max Increase   8 6 11 7 8 3 11 5 8 3 2
2018 Contract Condition       Yes Yes   Yes     Yes Yes  
Action       Yes Yes   No     Yes Yes  
High 93.53 92.23 93.69 94.41 90.63 91.18 90.48 93.10 95.49 96.15 95.11 92.61
Low 90.24 89.02 91.66 89.66 88.75 88.56 88.94 89.02 91.26 93.82 91.56 89.92
Close/Last 90.38 92.23 92.34 90.12 89.06 89.86 89.63 92.42 94.46 94.44 91.78 92.15

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