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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 Sep 29, 2023
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   37 40 42 45 45 45 45 45 45 45 45
Closed Higher   15 22 16 21 18 20 21 24 22 18 20
Exceeded High   9 16 12 15 14 13 19 17 18 13 7
Scenario Percentage   60% 73% 75% 71% 78% 65% 90% 71% 82% 72% 35%
Avg Max Increase   4.33% 5.77% 4.46% 4.16% 4.03% 4.41% 3.75% 5.67% 6.18% 3.63% 3.28%
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 15 17 16 12 7
Avg Max Decline   -1.50% -0.68% -0.96% -1.05% -1.31% -1.30% -1.46% -1.22% -0.63% -0.86% -0.42%
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 7 13 9 13 8 5 1
2023 Contract Condition   Yes   Yes       Yes        
Action   No   No       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   37 40 42 45 45 45 45 45 45 45 45
Closed Lower   22 18 26 24 27 25 24 21 23 27 25
Penetrated Low   19 15 19 21 20 19 19 17 22 22 18
Scenario Percentage   86% 83% 73% 88% 74% 76% 79% 81% 96% 81% 72%
Avg Max Decline   4.08% 4.81% 3.93% 4.11% 4.04% 3.85% 3.25% 4.34% 3.86% 3.65% 1.70%
Max Decline   9.63% 11.00% 9.36% 13.47% 8.06% 15.07% 16.03% 9.06% 11.20% 11.71% 3.72%
Avg Days To Max Decline   22 14 15 16 17 17 16 18 19 11 8
Avg Max Increase   -1.38% -0.43% -0.84% -0.60% -0.84% -0.88% -1.30% -0.85% -1.18% -1.06% -0.20%
Max Increase   -5.83% -3.98% -3.03% -2.76% -1.92% -3.76% -3.61% -3.23% -4.28% -3.68% -1.14%
Avg Days to Max Increase   12 5 10 6 10 7 9 8 9 5 2
2023 Contract Condition     Yes   Yes Yes Yes   Yes Yes    
Action     Yes   Yes Yes Yes   Yes Not Yet    
High 80.49 82.21 81.57 79.90 79.07 77.34 74.44 74.65 72.16 70.41    
Low 76.23 77.97 76.39 75.92 75.85 73.25 70.80 70.86 69.08 67.69    
Close/Last 80.24 80.39 76.81 78.24 76.00 74.10 71.16 71.85 69.93 67.78    

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