MRCI's ScenarioSM Study

ScenarioSM Study for June Swiss Franc(CME) as of Jan 01, 2019
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		32	34	38	43	43	43	43	43	43	43	43
Closed Higher		11	20	24	21	19	24	16	21	21	20	18
Exceeded High		10	17	22	12	15	19	13	15	17	16	11
Scenario Percentage		91%	85%	92%	57%	79%	79%	81%	71%	81%	80%	61%
Avg Max Increase		6.46%	5.35%	3.80%	5.33%	5.44%	3.96%	5.00%	4.18%	4.29%	2.73%	1.74%
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		21	17	18	22	18	15	19	20	17	9	7
Avg Max Decline		-0.98%	-1.01%	-1.01%	-0.40%	-1.16%	-1.66%	-1.21%	-1.62%	-1.52%	-1.32%	-0.43%
Max Decline		-2.35%	-4.88%	-4.15%	-1.86%	-4.07%	-4.46%	-3.00%	-7.31%	-3.91%	-5.56%	-1.20%
Avg Days to Max Decline		11	10	11	3	8	8	12	10	9	5	1
2018 Contract Condition			Yes			Yes	Yes	Yes				Yes
Action			No			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		32	34	38	43	43	43	43	43	43	43	43
Closed Lower		21	14	14	22	23	19	27	22	22	22	25
Penetrated Low		16	11	12	17	17	18	21	21	21	17	15
Scenario Percentage		76%	79%	86%	77%	74%	95%	78%	95%	95%	77%	60%
Avg Max Decline		2.95%	4.29%	3.78%	3.47%	4.16%	5.39%	4.53%	3.93%	4.05%	4.50%	1.72%
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	13	15	18	18	17	16	16	20	13	8
Avg Max Increase		-0.96%	-0.89%	-1.77%	-0.65%	-1.49%	-0.98%	-1.55%	-1.31%	-1.46%	-0.89%	-0.58%
Max Increase		-4.02%	-3.18%	-5.25%	-3.39%	-5.28%	-4.57%	-3.82%	-5.47%	-4.41%	-4.15%	-1.55%
Avg Days to Max Increase		8	8	11	7	11	5	10	11	11	4	3
2018 Contract Condition		Yes		Yes	Yes				Yes	Yes	Yes
Action		Yes		Yes	Yes				Yes	Yes	Yes
High	107.06	108.32	107.94	107.88	104.79	103.79	104.20	108.83	109.91	108.04	105.63	101.89
Low	105.11	105.24	104.66	104.35	101.38	101.30	101.81	102.79	106.68	104.99	101.16	99.72
Close/Last	106.78	105.68	106.24	105.14	101.87	103.15	104.01	108.57	106.94	105.14	101.32	101.64