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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, 2016
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   29 31 35 40 40 40 40 40 40 40 40
Closed Higher   10 18 23 21 18 22 14 20 19 19 16
Exceeded High   9 17 21 12 14 17 11 14 15 15 9
Scenario Percentage   90% 94% 91% 57% 78% 77% 79% 70% 79% 79% 56%
Avg Max Increase   7.02% 5.35% 3.93% 5.33% 5.44% 3.90% 5.76% 4.14% 4.55% 2.70% 1.98%
Max Increase   18.85% 12.61% 11.13% 12.27% 11.00% 11.11% 14.44% 10.82% 8.87% 4.65% 3.87%
Avg Days To Max Increase   21 17 19 22 17 15 19 21 17 10 6
Avg Max Decline   -0.92% -1.01% -0.92% -0.40% -1.15% -1.63% -1.00% -1.65% -1.51% -1.29% -0.40%
Max Decline   -2.35% -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   11 10 10 3 8 6 10 11 6 5 1
2015 Contract Condition               Yes     Yes  
Action               No     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   29 31 35 40 40 40 40 40 40 40 40
Closed Lower   19 13 12 19 21 18 26 20 21 21 24
Penetrated Low   14 10 10 14 15 17 21 19 20 16 15
Scenario Percentage   74% 77% 83% 74% 71% 94% 81% 95% 95% 76% 63%
Avg Max Decline   3.12% 4.52% 3.64% 3.59% 4.58% 5.62% 4.53% 3.99% 3.99% 4.67% 1.70%
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   14 12 15 18 19 18 16 16 21 13 8
Avg Max Increase   -0.94% -0.81% -1.90% -0.56% -1.29% -1.06% -1.55% -1.40% -1.50% -0.94% -0.58%
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 12 8 11 5 10 12 11 4 3
2015 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes Yes   Yes
Action   Yes Yes Yes Yes Yes Yes   Yes No   Not Yet
High 113.24 113.24 111.14 109.36 106.63 104.75 104.44 119.75 109.59 105.69 107.62 110.37
Low 111.52 110.40 109.35 105.07 103.65 103.16 100.95 98.18 105.16 99.10 101.62 104.83
Close/Last 113.24 110.42 109.35 105.07 104.15 103.75 100.95 109.71 105.18 103.15 107.57 106.43

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