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