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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 35 37 41 41 41 41 41 41 41 41
Closed Higher   12 19 15 20 16 20 19 22 22 17 18
Exceeded High   8 14 11 15 14 13 17 17 18 13 7
Scenario Percentage   67% 74% 73% 75% 88% 65% 89% 77% 82% 76% 39%
Avg Max Increase   4.38% 6.07% 4.72% 4.16% 4.32% 4.34% 4.04% 5.67% 6.58% 3.86% 3.23%
Max Increase   9.98% 19.83% 10.37% 9.71% 15.49% 10.93% 9.83% 22.99% 19.82% 11.98% 8.50%
Avg Days To Max Increase   17 17 18 14 15 15 17 17 17 12 9
Avg Max Decline   -1.55% -0.70% -0.91% -1.05% -1.28% -1.16% -1.59% -1.22% -0.59% -0.84% -0.39%
Max Decline   -5.83% -2.89% -3.18% -4.12% -3.98% -2.69% -3.94% -3.76% -3.05% -2.57% -1.02%
Avg Days to Max Decline   15 7 6 10 6 11 10 13 8 4 2
2017 Contract Condition   Yes Yes Yes   Yes   Yes Yes     Yes
Action   Yes Yes Yes   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 35 37 41 41 41 41 41 41 41 41
Closed Lower   20 16 22 20 25 21 22 19 19 24 23
Penetrated Low   17 13 17 18 18 16 17 15 18 20 17
Scenario Percentage   85% 81% 77% 90% 72% 76% 77% 79% 95% 83% 74%
Avg Max Decline   4.02% 5.15% 3.69% 4.24% 4.29% 4.23% 3.48% 4.04% 4.08% 3.86% 1.78%
Max Decline   9.63% 11.00% 9.36% 13.47% 8.06% 15.07% 16.03% 8.34% 11.20% 11.71% 3.72%
Avg Days To Max Decline   21 12 15 16 18 17 16 18 18 11 8
Avg Max Increase   -1.18% -0.38% -0.93% -0.49% -0.88% -0.78% -1.28% -0.92% -1.18% -1.11% -0.15%
Max Increase   -3.84% -3.98% -3.03% -2.76% -1.92% -2.47% -3.61% -3.23% -4.28% -3.68% -1.14%
Avg Days to Max Increase   11 4 11 5 10 6 9 8 9 5 2
2017 Contract Condition         Yes   Yes     Yes Yes  
Action         Yes   Yes     Yes Yes  
High 89.90 90.55 90.85 91.86 93.43 91.51 92.59 91.32 92.86 93.60 89.80 90.30
Low 86.08 85.95 88.41 87.91 90.52 88.35 89.23 88.00 90.62 88.63 87.56 87.31
Close/Last 87.32 90.18 90.44 90.95 90.76 91.31 89.49 91.31 91.39 89.20 88.14 88.92

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