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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Swiss Franc(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   27 29 33 38 38 38 38 38 38 38 38
Closed Higher   9 18 22 21 18 21 13 19 19 17 16
Exceeded High   8 17 20 12 14 16 11 13 15 13 9
Scenario Percentage   89% 94% 91% 57% 78% 76% 85% 68% 79% 76% 56%
Avg Max Increase   7.64% 5.35% 4.06% 5.33% 5.44% 4.06% 5.76% 4.39% 4.55% 2.83% 2.00%
Max Increase   18.85% 12.61% 11.13% 12.27% 11.00% 11.11% 14.44% 10.82% 8.87% 4.65% 4.08%
Avg Days To Max Increase   20 17 18 22 17 14 19 21 17 10 7
Avg Max Decline   -0.75% -1.01% -0.91% -0.40% -1.15% -1.56% -1.00% -1.68% -1.51% -1.37% -0.40%
Max Decline   -1.68% -4.88% -4.15% -1.86% -4.07% -4.46% -2.71% -7.31% -3.91% -5.56% -1.20%
Avg Days to Max Decline   8 10 10 3 8 6 10 11 6 5 1
2013 Contract Condition     Yes Yes Yes Yes Yes Yes     Yes  
Action     Yes Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   27 29 33 38 38 38 38 38 38 38 38
Closed Lower   18 11 11 17 19 17 25 19 19 21 22
Penetrated Low   13 8 9 12 14 16 21 18 19 16 14
Scenario Percentage   72% 73% 82% 71% 74% 94% 84% 95% 100% 76% 64%
Avg Max Decline   2.98% 4.82% 3.85% 3.78% 4.52% 5.79% 4.53% 3.89% 4.11% 4.67% 1.76%
Max Decline   8.02% 13.36% 8.76% 6.83% 11.57% 12.36% 12.27% 11.84% 8.28% 8.21% 4.09%
Avg Days To Max Decline   12 14 16 18 19 18 16 17 20 13 8
Avg Max Increase   -0.97% -1.01% -1.94% -0.61% -1.34% -1.13% -1.55% -1.47% -1.50% -0.94% -0.59%
Max Increase   -4.02% -3.18% -5.25% -2.83% -5.28% -4.57% -3.82% -5.47% -4.41% -4.15% -1.55%
Avg Days to Max Increase   7 6 11 8 10 6 10 13 10 4 3
2013 Contract Condition   Yes             Yes Yes   Yes
Action   No             Yes Yes   Not Yet
High 106.88 106.49 105.55 108.36 108.91 108.41 110.16 110.11 110.61 107.38 108.69 108.20
Low 104.20 101.48 102.30 105.38 106.84 105.81 107.41 106.97 106.82 104.63 105.05 101.66
Close/Last 106.49 103.51 105.55 106.86 107.81 108.20 109.67 110.11 106.88 105.46 107.65 104.22

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