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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Japanese Yen(CME) as of Jan 01, 2015
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   26 29 31 33 37 38 38 38 38 38 38
Closed Higher   12 13 13 12 19 16 19 16 18 17 19
Exceeded High   11 10 8 9 14 12 15 15 11 13 13
Scenario Percentage   92% 77% 62% 75% 74% 75% 79% 94% 61% 76% 68%
Avg Max Increase   4.27% 4.72% 3.96% 4.85% 6.50% 4.11% 4.10% 4.55% 4.68% 3.48% 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   18 21 15 15 16 16 14 16 17 13 9
Avg Max Decline   -1.25% -0.75% -0.84% -1.24% -0.66% -0.89% -0.83% -1.29% -1.09% -1.63% -0.48%
Max Decline   -6.14% -3.06% -2.73% -6.03% -3.10% -3.16% -3.91% -4.06% -2.72% -3.97% -2.67%
Avg Days to Max Decline   9 7 15 11 9 5 6 6 9 6 3
2014 Contract Condition         Yes Yes   Yes Yes Yes    
Action         Yes No   Yes Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   26 29 31 33 37 38 38 38 38 38 38
Closed Lower   14 16 18 21 18 22 19 22 20 21 19
Penetrated Low   13 15 16 19 15 19 16 17 15 16 11
Scenario Percentage   93% 94% 89% 90% 83% 86% 84% 77% 75% 76% 58%
Avg Max Decline   4.18% 4.62% 3.70% 3.78% 5.25% 3.51% 4.57% 4.50% 4.44% 3.05% 2.18%
Max Decline   8.63% 10.06% 8.78% 9.65% 10.51% 9.36% 13.18% 8.68% 15.17% 15.70% 6.64%
Avg Days To Max Decline   23 15 14 21 14 14 16 19 16 10 10
Avg Max Increase   -1.32% -0.68% -0.34% -1.38% -0.64% -0.96% -0.45% -0.97% -0.91% -1.14% -0.50%
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   12 9 4 10 5 10 4 7 6 6 4
2014 Contract Condition   Yes Yes Yes     Yes       Yes Yes
Action   Yes Yes No     Yes       Yes Yes
High 102.41 103.54 102.41 98.53 98.17 99.31 98.92 98.75 99.25 99.56 98.99 98.54
Low 100.00 101.57 97.80 95.15 95.15 97.44 96.72 95.95 97.00 97.34 97.02 95.93
Close/Last 102.15 101.96 97.80 95.15 97.88 98.36 96.97 98.00 98.40 98.80 97.24 96.06

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