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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, 2019
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   30 33 35 37 41 42 42 42 42 42 42
Closed Higher   12 14 14 15 22 18 21 18 20 19 22
Exceeded High   11 11 9 11 17 14 16 16 12 15 14
Scenario Percentage   92% 79% 64% 73% 77% 78% 76% 89% 60% 79% 64%
Avg Max Increase   4.27% 4.60% 4.42% 4.51% 6.05% 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 22 14 17 17 15 15 16 17 12 9
Avg Max Decline   -1.25% -0.77% -0.89% -1.36% -0.77% -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 8 16 13 8 5 8 6 12 6 3
2018 Contract Condition     Yes   Yes Yes     Yes     Yes
Action     Yes   Yes Yes     No     Not Yet
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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   30 33 35 37 41 42 42 42 42 42 42
Closed Lower   18 19 21 22 19 24 21 24 22 23 20
Penetrated Low   17 17 17 19 16 21 18 18 17 17 12
Scenario Percentage   94% 89% 81% 86% 84% 88% 86% 75% 77% 74% 60%
Avg Max Decline   4.49% 4.43% 3.58% 3.78% 5.05% 3.58% 4.33% 4.33% 4.15% 2.96% 2.07%
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   20 14 14 21 14 15 16 18 16 10 9
Avg Max Increase   -1.18% -0.67% -0.27% -1.38% -0.60% -0.95% -0.43% -0.93% -0.85% -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   10 8 4 10 5 10 3 7 6 5 4
2018 Contract Condition   Yes   Yes     Yes Yes   Yes Yes  
Action   Yes   No     Yes Yes   Yes Not Yet  
High 94.83 91.14 91.66 91.06 93.53 96.03 96.70 95.68 93.20 92.62 91.14 91.27
Low 90.14 89.17 88.92 89.56 89.69 91.90 94.60 92.20 90.52 90.61 88.68 89.44
Close/Last 90.62 89.57 90.38 90.16 93.00 95.10 95.06 92.40 92.74 90.68 89.70 90.17

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