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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 Jun 08, 2020
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   34 37 39 43 43 43 43 43 43 43 43
Closed Higher   14 20 16 20 18 21 19 24 22 18 18
Exceeded High   9 15 12 15 15 14 17 17 18 13 7
Scenario Percentage   64% 75% 75% 75% 83% 67% 89% 71% 82% 72% 39%
Avg Max Increase   4.33% 5.77% 4.46% 4.16% 4.11% 4.23% 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 19 14 16 16 17 17 17 12 9
Avg Max Decline   -1.50% -0.69% -0.96% -1.05% -1.22% -1.19% -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 7 10 6 12 10 13 8 4 2
2019 Contract Condition   Yes   Yes   Yes Yes   Yes      
Action   No   Yes   Yes Yes   No      
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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   34 37 39 43 43 43 43 43 43 43 43
Closed Lower   20 17 23 22 25 22 24 19 21 25 25
Penetrated Low   17 14 18 19 18 17 19 15 20 21 18
Scenario Percentage   85% 82% 78% 86% 72% 77% 79% 79% 95% 84% 72%
Avg Max Decline   4.02% 4.87% 3.74% 4.12% 4.29% 4.10% 3.25% 4.04% 3.82% 3.73% 1.67%
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 13 15 16 18 17 16 18 18 10 8
Avg Max Increase   -1.18% -0.44% -0.91% -0.49% -0.88% -0.76% -1.30% -0.92% -1.23% -1.06% -0.20%
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 6 10 5 10 6 9 8 10 5 2
2019 Contract Condition     Yes   Yes     Yes   Yes Yes Yes
Action     Yes   No     Yes   Yes Yes Yes
High 93.83 96.17 93.72 93.07 92.01 93.63 94.76 94.21 96.45 95.24 94.47 92.92
Low 90.59 93.65 91.86 91.38 90.67 91.20 93.18 92.76 92.43 92.73 91.75 91.25
Close/Last 93.83 94.28 91.86 92.06 91.40 93.63 93.88 92.85 94.79 92.98 92.83 91.47

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