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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 May 10, 2021
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   35 38 40 44 44 44 44 44 44 44 44
Closed Higher   14 21 16 20 18 21 20 24 23 19 19
Exceeded High   9 16 12 15 15 14 18 17 19 14 7
Scenario Percentage   64% 76% 75% 75% 83% 67% 90% 71% 83% 74% 37%
Avg Max Increase   4.33% 5.77% 4.46% 4.16% 4.11% 4.23% 3.91% 5.67% 6.35% 3.69% 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 17 19 14 16 16 17 17 17 12 9
Avg Max Decline   -1.50% -0.68% -0.96% -1.05% -1.22% -1.19% -1.56% -1.22% -0.59% -0.83% -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
2020 Contract Condition     Yes         Yes   Yes Yes Yes
Action     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   35 38 40 44 44 44 44 44 44 44 44
Closed Lower   21 17 24 23 26 23 24 20 21 25 25
Penetrated Low   18 14 18 20 19 17 19 15 20 21 18
Scenario Percentage   86% 82% 75% 87% 73% 74% 79% 75% 95% 84% 72%
Avg Max Decline   3.99% 4.87% 3.74% 4.04% 4.16% 4.10% 3.25% 4.04% 3.82% 3.67% 1.59%
Max Decline   9.63% 11.00% 9.36% 13.47% 8.06% 15.07% 16.03% 8.34% 11.20% 10.75% 3.26%
Avg Days To Max Decline   21 13 15 16 17 17 16 18 18 10 7
Avg Max Increase   -1.44% -0.44% -0.91% -0.52% -0.85% -0.76% -1.30% -0.92% -1.23% -1.06% -0.20%
Max Increase   -5.83% -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   13 6 10 5 10 6 9 8 10 5 2
2020 Contract Condition   Yes   Yes Yes Yes Yes   Yes      
Action   Yes   No Yes Yes No   No      
High 94.56 94.34 93.95 99.27 94.40 94.77 94.52 96.13 95.28 96.26 96.18 96.96
Low 92.75 92.45 90.63 90.60 92.08 92.93 91.35 92.67 93.56 93.97 94.31 94.66
Close/Last 93.90 93.80 93.95 93.74 93.68 93.06 92.84 94.70 94.59 94.88 95.58 95.87

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