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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 30, 2024
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   38 41 43 45 45 45 45 45 45 45 45
Closed Higher   16 22 17 21 17 19 21 24 21 17 21
Exceeded High   9 16 12 15 13 12 18 17 17 13 8
Scenario Percentage   56% 73% 71% 71% 76% 63% 86% 71% 81% 76% 38%
Avg Max Increase   4.33% 5.77% 4.46% 4.16% 3.15% 3.87% 3.74% 5.67% 6.13% 3.63% 3.49%
Max Increase   9.98% 19.83% 10.37% 9.71% 7.14% 6.04% 9.83% 22.99% 19.82% 11.98% 8.50%
Avg Days To Max Increase   18 17 19 14 15 16 15 17 16 12 8
Avg Max Decline   -1.50% -0.68% -0.96% -1.05% -1.33% -1.31% -1.54% -1.22% -0.64% -0.86% -0.38%
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 9 5 1
2024 Contract Condition               Yes Yes Yes    
Action               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   38 41 43 45 45 45 45 45 45 45 45
Closed Lower   22 19 26 24 28 26 24 21 24 28 24
Penetrated Low   19 16 19 21 21 20 19 18 23 23 17
Scenario Percentage   86% 84% 73% 88% 75% 77% 79% 86% 96% 82% 71%
Avg Max Decline   4.08% 4.59% 3.93% 4.33% 4.06% 3.80% 3.25% 4.38% 3.79% 3.49% 1.68%
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 15 15 17 17 18 16 19 18 11 8
Avg Max Increase   -1.38% -0.65% -0.84% -0.64% -0.82% -1.08% -1.30% -0.84% -1.19% -1.08% -0.28%
Max Increase   -5.83% -4.04% -3.03% -2.76% -1.92% -4.90% -3.61% -3.23% -4.28% -3.68% -1.14%
Avg Days to Max Increase   12 6 10 6 9 7 9 7 9 5 2
2024 Contract Condition   Yes Yes Yes Yes Yes Yes          
Action   Yes Yes Yes Yes Yes Yes          
High 75.00 74.15 71.46 71.07 68.76 67.90 66.57 68.16 71.87 72.53    
Low 71.33 70.43 69.22 68.39 64.79 65.32 63.59 63.24 67.57 68.92    
Close/Last 74.48 71.45 69.57 68.60 65.62 65.46 63.76 67.77 69.46 70.30    

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