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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, 2019
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   33 36 38 42 42 42 42 42 42 42 42
Closed Higher   13 20 15 20 17 20 19 23 22 18 18
Exceeded High   9 15 11 15 14 13 17 17 18 13 7
Scenario Percentage   69% 75% 73% 75% 82% 65% 89% 74% 82% 72% 39%
Avg Max Increase   4.33% 5.77% 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   18 18 18 14 15 15 17 17 17 12 9
Avg Max Decline   -1.50% -0.69% -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   13 7 6 10 6 11 10 13 8 4 2
2018 Contract Condition   Yes Yes     Yes     Yes   Yes  
Action   Yes Yes     No     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   33 36 38 42 42 42 42 42 42 42 42
Closed Lower   20 16 23 21 25 22 23 19 20 24 24
Penetrated Low   17 13 18 19 18 17 18 15 19 20 17
Scenario Percentage   85% 81% 78% 90% 72% 77% 78% 79% 95% 83% 71%
Avg Max Decline   4.02% 5.15% 3.74% 4.12% 4.29% 4.10% 3.41% 4.04% 3.92% 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% -0.91% -0.49% -0.88% -0.76% -1.30% -0.92% -1.21% -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 10 5 10 6 10 8 10 5 2
2018 Contract Condition       Yes Yes   Yes Yes   Yes   Yes
Action       Yes Yes   Yes Yes   Yes   Not Yet
High 91.47 94.10 96.41 97.28 96.26 93.74 92.66 91.72 91.84 91.24 90.12 89.19
Low 90.00 90.25 92.62 95.27 92.93 91.25 91.28 89.35 90.06 88.42 87.74 87.68
Close/Last 90.75 93.64 95.79 95.72 93.06 93.39 91.30 90.31 90.77 88.54 88.76 88.12

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