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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 Oct 20, 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   31 33 35 41 42 43 43 43 43 43 43
Closed Higher   15 21 19 18 18 21 19 23 19 21 18
Exceeded High   13 15 15 14 15 18 14 18 14 14 10
Scenario Percentage   87% 71% 79% 78% 83% 86% 74% 78% 74% 67% 56%
Avg Max Increase   3.36% 5.46% 6.64% 4.68% 4.45% 3.65% 4.71% 6.04% 4.29% 3.75% 2.01%
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 21 20 12 18 17 18 13 9
Avg Max Decline   -1.06% -0.67% -0.60% -1.34% -1.09% -1.15% -1.19% -0.88% -1.00% -0.64% -0.43%
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 6 4 2
2019 Contract Condition     Yes   Yes   Yes Yes   Yes   Yes
Action     No   Yes   Yes No   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   31 33 35 41 42 43 43 43 43 43 43
Closed Lower   16 12 16 23 24 22 24 20 24 22 25
Penetrated Low   12 9 16 21 21 18 20 17 21 17 16
Scenario Percentage   75% 75% 100% 91% 88% 82% 83% 85% 88% 77% 64%
Avg Max Decline   3.55% 3.72% 3.09% 4.49% 3.94% 3.96% 4.06% 4.84% 3.62% 4.05% 2.20%
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   19 19 19 18 15 14 22 13 14 12 9
Avg Max Increase   -1.10% -0.57% -0.77% -1.27% -0.80% -0.52% -1.56% -0.77% -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   9 6 11 7 8 3 11 6 8 3 2
2019 Contract Condition   Yes   Yes   Yes     Yes   Yes  
Action   Yes   Yes   No     Yes   Not Yet  
High 94.09 93.03 93.20 92.28 91.28 90.59 92.49 95.00 92.91 91.82 90.80 92.47
Low 92.72 90.92 91.64 89.94 89.32 89.26 89.39 92.00 90.46 89.91 89.34 89.78
Close/Last 92.72 91.72 92.18 89.94 90.23 89.53 92.41 92.85 90.52 90.79 90.10 92.37

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