MRCI's ScenarioSM Study

ScenarioSM Study for March Swiss Franc(CME) as of Oct 20, 2019
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		35	39	41	44	44	44	44	44	44	44	44
Closed Higher		13	17	21	19	23	28	22	20	25	16	22
Exceeded High		12	12	15	17	19	25	14	16	20	12	10
Scenario Percentage		92%	71%	71%	89%	83%	89%	64%	80%	80%	75%	45%
Avg Max Increase		3.19%	4.99%	6.45%	5.89%	5.50%	4.09%	5.11%	5.33%	3.83%	5.26%	3.21%
Max Increase		8.78%	11.71%	18.21%	18.60%	12.10%	11.46%	12.15%	10.90%	10.55%	13.30%	9.13%
Avg Days To Max Increase		17	18	19	21	17	18	20	17	15	14	11
Avg Max Decline		-1.44%	-0.56%	-0.87%	-1.68%	-1.11%	-1.42%	-0.81%	-1.17%	-1.78%	-1.07%	-0.84%
Max Decline		-5.72%	-2.32%	-2.99%	-7.22%	-5.77%	-4.34%	-1.92%	-4.09%	-4.56%	-2.70%	-2.07%
Avg Days to Max Decline		9	5	7	14	7	10	4	7	9	8	3
2019 Contract Condition			Yes			Yes			Yes	Yes
Action			Yes			Yes			Yes	Yes

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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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		35	39	41	44	44	44	44	44	44	44	44
Closed Lower		21	22	20	25	21	16	22	24	19	28	22
Penetrated Low		17	16	17	20	14	14	19	18	18	22	17
Scenario Percentage		81%	73%	85%	80%	67%	88%	86%	75%	95%	79%	77%
Avg Max Decline		4.37%	3.60%	3.82%	3.08%	4.43%	3.97%	3.42%	4.31%	5.56%	3.80%	2.57%
Max Decline		9.60%	9.91%	7.87%	8.04%	13.62%	9.10%	6.74%	11.72%	12.52%	9.71%	7.23%
Avg Days To Max Decline		17	18	15	16	15	14	15	16	15	9	10
Avg Max Increase		-0.61%	-1.55%	-0.19%	-1.27%	-1.17%	-1.82%	-0.93%	-1.27%	-1.05%	-1.15%	-0.61%
Max Increase		-2.32%	-3.98%	-2.84%	-4.67%	-3.30%	-5.54%	-3.63%	-5.35%	-4.51%	-3.76%	-2.34%
Avg Days to Max Increase		6	15	8	10	6	10	6	10	5	6	3
2019 Contract Condition		Yes		Yes	Yes		Yes	Yes			Yes	Yes
Action		Yes		Yes	No		Yes	Yes			Yes	Yes
High	110.50	108.13	104.29	104.75	103.64	105.44	106.54	103.39	102.10	102.88	103.54	101.19
Low	107.70	104.00	102.44	102.51	101.57	102.23	103.59	100.46	100.02	100.97	100.48	99.30
Close/Last	107.90	104.00	104.29	103.33	103.14	105.05	103.83	100.56	101.10	102.44	100.94	100.38