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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 Oct 20, 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   31 34 36 38 42 43 43 43 43 43 43
Closed Higher   13 14 15 16 22 19 21 19 21 19 23
Exceeded High   12 11 10 11 17 15 16 17 13 15 14
Scenario Percentage   92% 79% 67% 69% 77% 79% 76% 89% 62% 79% 61%
Avg Max Increase   4.12% 4.60% 4.21% 4.51% 6.05% 4.04% 4.32% 4.18% 4.56% 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   19 22 13 17 17 16 15 16 18 12 9
Avg Max Decline   -1.23% -0.77% -0.77% -1.36% -0.77% -0.83% -1.05% -1.23% -1.24% -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   12 8 15 13 8 6 8 6 13 6 3
2019 Contract Condition   Yes   Yes Yes   Yes   Yes Yes   Yes
Action   Yes   Yes No   Yes   Yes Yes   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   31 34 36 38 42 43 43 43 43 43 43
Closed Lower   18 20 21 22 20 24 22 24 22 24 20
Penetrated Low   17 18 17 19 17 21 18 18 17 18 12
Scenario Percentage   94% 90% 81% 86% 85% 88% 82% 75% 77% 75% 60%
Avg Max Decline   4.49% 4.20% 3.58% 3.78% 4.82% 3.58% 4.33% 4.33% 4.15% 2.79% 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 9 9
Avg Max Increase   -1.18% -0.69% -0.27% -1.38% -0.65% -0.95% -0.43% -0.93% -0.85% -1.10% -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 6 10 3 7 6 5 4
2019 Contract Condition     Yes     Yes   Yes     Yes  
Action     Yes     Yes   No     Yes  
High 93.02 92.21 91.22 93.16 95.24 93.01 92.41 91.36 93.10 94.22 93.67 95.89
Low 90.67 90.05 90.16 90.11 92.80 91.18 90.68 90.02 90.55 92.59 92.04 91.77
Close/Last 90.67 90.95 90.26 93.12 93.55 91.18 91.43 90.75 93.01 93.31 92.24 94.21

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