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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Swiss Franc(CME) as of Aug 18, 2023
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   36 40 42 45 45 45 45 45 45 45 45
Closed Higher   12 18 23 20 22 26 22 21 26 16 21
Exceeded High   11 13 17 18 17 23 16 17 22 12 10
Scenario Percentage   92% 72% 74% 90% 77% 88% 73% 81% 85% 75% 48%
Avg Max Increase   2.95% 4.74% 5.84% 5.49% 5.62% 4.05% 4.16% 4.77% 3.03% 4.32% 2.61%
Max Increase   8.78% 11.71% 18.21% 18.60% 12.10% 11.46% 12.15% 10.15% 10.02% 13.30% 9.13%
Avg Days To Max Increase   18 21 19 20 17 17 19 17 13 12 8
Avg Max Decline   -1.47% -0.93% -1.13% -1.57% -1.03% -1.52% -0.83% -1.16% -1.73% -1.28% -0.76%
Max Decline   -5.72% -4.10% -3.44% -7.22% -5.77% -4.34% -1.92% -4.09% -4.56% -2.70% -2.07%
Avg Days to Max Decline   8 8 9 12 7 10 5 9 9 9 2
2023 Contract Condition     Yes Yes         Yes Yes Yes  
Action     Yes 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   36 40 42 45 45 45 45 45 45 45 45
Closed Lower   23 22 19 25 23 19 23 24 19 29 24
Penetrated Low   19 16 16 21 17 17 20 17 18 23 17
Scenario Percentage   83% 73% 84% 84% 74% 89% 87% 71% 95% 79% 71%
Avg Max Decline   4.16% 3.60% 3.40% 3.11% 4.11% 3.53% 3.31% 4.33% 5.56% 3.62% 2.27%
Max Decline   9.60% 9.91% 7.06% 8.04% 13.62% 9.10% 6.74% 11.72% 12.52% 8.95% 5.78%
Avg Days To Max Decline   16 18 12 17 16 15 15 15 15 9 8
Avg Max Increase   -0.56% -1.55% -0.21% -1.28% -1.20% -1.76% -0.93% -1.32% -1.05% -1.16% -0.56%
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 11 6 9 5 7 3
2023 Contract Condition   Yes     Yes Yes Yes Yes       Yes
Action   Yes     Yes Yes Yes Yes       Yes
High 111.11 110.57 106.73 107.55 107.20 108.70 107.09 103.94 108.38 109.67 110.71 110.82
Low 108.41 105.33 101.89 102.12 103.45 104.05 102.11 100.20 100.10 106.98 106.92 106.21
Close/Last 110.86 105.46 106.49 107.13 107.05 104.20 103.06 101.41 107.13 109.02 109.68 106.48

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