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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 27, 2023
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   34 36 38 44 45 45 45 45 45 45 45
Closed Higher   17 22 19 18 20 22 21 23 18 22 17
Exceeded High   15 15 15 14 16 19 14 17 12 15 8
Scenario Percentage   88% 68% 79% 78% 80% 86% 67% 74% 67% 68% 47%
Avg Max Increase   3.06% 5.46% 6.05% 4.45% 4.52% 3.34% 4.88% 5.99% 4.72% 3.58% 1.99%
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   13 17 17 20 20 12 16 18 19 12 9
Avg Max Decline   -0.93% -0.67% -0.67% -1.37% -1.03% -1.28% -1.44% -0.93% -1.23% -0.61% -0.41%
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 10 9 7 4 2
2023 Contract Condition   Yes       Yes Yes Yes   Yes    
Action   Yes       Yes Yes No   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   34 36 38 44 45 45 45 45 45 45 45
Closed Lower   17 14 19 26 25 23 24 22 27 23 28
Penetrated Low   13 11 19 23 22 19 21 19 22 18 19
Scenario Percentage   76% 79% 100% 88% 88% 83% 88% 86% 81% 78% 68%
Avg Max Decline   3.28% 4.20% 3.12% 4.24% 3.81% 3.81% 4.14% 4.61% 3.79% 4.19% 2.08%
Max Decline   16.02% 8.55% 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 19 15 13 22 14 14 12 9
Avg Max Increase   -1.27% -0.48% -0.78% -1.21% -0.83% -0.49% -1.50% -0.74% -0.85% -0.63% -0.58%
Max Increase   -3.33% -3.20% -3.81% -4.98% -3.44% -2.07% -4.15% -4.50% -3.24% -2.38% -1.81%
Avg Days to Max Increase   10 6 10 7 9 3 11 5 8 4 2
2023 Contract Condition     Yes Yes Yes       Yes   Yes Yes
Action     Yes Yes No       Yes   Yes Yes
High 79.62 77.92 79.17 74.10 71.84 74.83 78.52 80.28 79.56 78.11 77.43 75.40
Low 75.75 74.45 74.37 71.02 68.15 69.64 74.30 75.93 74.22 73.64 73.78 71.17
Close/Last 76.41 77.46 74.52 71.36 69.50 74.52 78.17 78.32 74.66 76.23 73.95 72.00

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