|
MRCI's ScenarioSM Study |
ScenarioSM Study for September Japanese Yen(CME) as of Apr 30, 2011 |
Condition 1:
Higher Monthly Close. Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
Tested Month |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Tested Years |
|
22 |
25 |
27 |
29 |
33 |
34 |
34 |
34 |
34 |
34 |
34 |
Closed Higher |
|
11 |
12 |
11 |
10 |
17 |
16 |
16 |
14 |
15 |
14 |
18 |
Exceeded High |
|
10 |
9 |
7 |
8 |
13 |
12 |
12 |
13 |
10 |
10 |
13 |
Scenario Percentage |
|
91% |
75% |
64% |
80% |
76% |
75% |
75% |
93% |
67% |
71% |
72% |
Avg Max Increase |
|
4.68% |
5.08% |
4.42% |
5.28% |
6.56% |
4.11% |
4.60% |
5.09% |
4.56% |
4.05% |
2.57% |
Max Increase |
|
13.76% |
8.75% |
13.24% |
10.42% |
19.60% |
10.41% |
10.48% |
15.22% |
10.40% |
7.20% |
8.13% |
Avg Days To Max Increase |
|
20 |
20 |
17 |
16 |
16 |
16 |
15 |
17 |
17 |
12 |
9 |
Avg Max Decline |
|
-1.37% |
-0.75% |
-0.75% |
-1.39% |
-0.58% |
-0.89% |
-0.82% |
-1.37% |
-1.05% |
-1.30% |
-0.48% |
Max Decline |
|
-6.14% |
-3.06% |
-2.73% |
-6.03% |
-3.10% |
-3.16% |
-3.91% |
-4.06% |
-2.72% |
-3.38% |
-2.67% |
Avg Days to Max Decline |
|
10 |
6 |
13 |
12 |
8 |
5 |
7 |
7 |
9 |
6 |
3 |
2011 Contract Condition |
|
Yes |
|
Yes |
|
Yes |
|
Yes |
|
|
|
|
Action |
|
Yes |
|
No |
|
Yes |
|
Yes |
|
|
|
|
Condition 2:
Lower Monthly Close. Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
Tested Month |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Tested Years |
|
22 |
25 |
27 |
29 |
33 |
34 |
34 |
34 |
34 |
34 |
34 |
Closed Lower |
|
11 |
13 |
16 |
19 |
16 |
18 |
18 |
20 |
19 |
20 |
16 |
Penetrated Low |
|
10 |
12 |
15 |
17 |
13 |
16 |
15 |
17 |
15 |
15 |
9 |
Scenario Percentage |
|
91% |
92% |
94% |
89% |
81% |
89% |
83% |
85% |
79% |
75% |
56% |
Avg Max Decline |
|
3.93% |
4.62% |
3.41% |
3.76% |
5.17% |
3.33% |
4.48% |
4.50% |
4.44% |
3.01% |
2.07% |
Max Decline |
|
8.63% |
8.84% |
8.78% |
9.65% |
10.51% |
8.89% |
13.18% |
8.68% |
15.17% |
15.70% |
6.64% |
Avg Days To Max Decline |
|
24 |
15 |
14 |
21 |
14 |
15 |
16 |
19 |
16 |
10 |
10 |
Avg Max Increase |
|
-1.63% |
-0.62% |
-0.36% |
-1.47% |
-0.75% |
-1.04% |
-0.45% |
-0.97% |
-0.91% |
-1.13% |
-0.61% |
Max Increase |
|
-4.18% |
-2.95% |
-1.77% |
-4.05% |
-4.35% |
-3.00% |
-1.94% |
-2.12% |
-2.64% |
-3.88% |
-2.28% |
Avg Days to Max Increase |
|
14 |
10 |
5 |
10 |
5 |
11 |
4 |
7 |
6 |
5 |
5 |
2011 Contract Condition |
|
|
Yes |
|
Yes |
|
Yes |
|
Yes |
|
|
|
Action |
|
|
Yes |
|
Yes |
|
Yes |
|
|
|
|
|
High |
121.03 |
124.76 |
125.00 |
123.62 |
123.62 |
123.14 |
129.44 |
123.43 |
123.47 |
|
|
|
Low |
117.24 |
120.57 |
119.35 |
118.94 |
120.45 |
119.31 |
120.42 |
117.07 |
122.56 |
|
|
|
Close/Last |
120.57 |
124.76 |
120.28 |
123.62 |
122.25 |
122.56 |
120.51 |
123.38 |
123.18 |
|
|
|
|
|
Copyright © 2024 Moore Research Center, Inc. All Rights Reserved. |
www.mrci.com | sales@mrci.com | Phone: 541-525-0521 |
|