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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, 2018
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   29 32 34 36 40 41 41 41 41 41 41
Closed Higher   12 13 14 14 21 18 21 17 20 19 21
Exceeded High   11 10 9 10 16 14 16 16 12 15 14
Scenario Percentage   92% 77% 64% 71% 76% 78% 76% 94% 60% 79% 67%
Avg Max Increase   4.27% 4.72% 4.42% 4.57% 6.33% 4.19% 4.32% 4.36% 4.71% 3.35% 2.56%
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 14 16 17 15 15 16 17 12 9
Avg Max Decline   -1.25% -0.75% -0.89% -1.37% -0.79% -0.78% -1.05% -1.28% -1.20% -1.51% -0.48%
Max Decline   -6.14% -3.06% -2.73% -6.03% -3.10% -3.16% -4.26% -4.06% -2.72% -3.97% -2.67%
Avg Days to Max Decline   9 7 16 14 8 5 8 6 12 6 3
2017 Contract Condition         Yes Yes Yes   Yes   Yes Yes
Action         Yes Yes Yes   Yes   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 32 34 36 40 41 41 41 41 41 41
Closed Lower   17 19 20 22 19 23 20 24 21 22 20
Penetrated Low   16 17 17 19 16 20 17 18 16 17 12
Scenario Percentage   94% 89% 85% 86% 84% 87% 85% 75% 76% 77% 60%
Avg Max Decline   4.73% 4.43% 3.58% 3.78% 5.05% 3.52% 4.46% 4.33% 4.27% 2.96% 2.08%
Max Decline   11.44% 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   21 14 14 21 14 15 16 18 16 11 10
Avg Max Increase   -1.25% -0.67% -0.27% -1.38% -0.60% -0.97% -0.43% -0.93% -0.87% -1.08% -0.51%
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   11 8 4 10 5 11 3 7 6 5 4
2017 Contract Condition   Yes Yes Yes       Yes   Yes    
Action   Yes Yes Yes       Yes   Yes    
High 101.40 100.08 99.76 89.54 90.12 90.42 91.49 93.08 91.18 92.28 90.93 92.45
Low 97.75 96.31 88.77 85.62 85.47 87.85 87.36 90.02 87.91 88.84 87.61 90.21
Close/Last 100.24 96.68 88.77 86.84 89.69 89.97 90.49 90.32 90.90 89.10 90.91 90.99

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