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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 Nov 09, 2020
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   34 36 40 45 45 45 45 45 45 45 45
Closed Higher   11 21 24 22 20 26 17 21 21 20 20
Exceeded High   10 18 22 13 16 21 14 15 17 16 13
Scenario Percentage   91% 86% 92% 59% 80% 81% 82% 71% 81% 80% 65%
Avg Max Increase   6.46% 5.13% 3.80% 5.06% 5.25% 3.65% 4.97% 4.18% 4.29% 2.73% 1.77%
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 18 23 18 14 18 20 17 9 6
Avg Max Decline   -0.98% -0.99% -1.01% -0.50% -1.09% -1.59% -1.28% -1.62% -1.52% -1.32% -0.40%
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 5 8 8 13 10 9 5 2
2020 Contract Condition         Yes   Yes Yes       Yes
Action         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   34 36 40 45 45 45 45 45 45 45 45
Closed Lower   23 15 16 23 24 19 28 24 24 24 25
Penetrated Low   17 12 14 18 17 18 22 23 22 17 15
Scenario Percentage   74% 80% 88% 78% 71% 95% 79% 96% 92% 71% 60%
Avg Max Decline   2.85% 4.05% 3.56% 3.30% 4.16% 5.39% 4.42% 3.84% 4.00% 4.48% 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   15 12 16 18 18 17 16 17 21 13 8
Avg Max Increase   -1.05% -0.90% -1.56% -0.68% -1.49% -0.98% -1.49% -1.44% -1.40% -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   9 7 11 7 11 5 10 11 10 4 3
2020 Contract Condition   Yes Yes Yes   Yes     Yes Yes Yes  
Action   Yes Yes Yes   No     Yes No Not Yet  
High 105.91 104.84 106.00 104.52 103.34 103.10 104.83 105.07 104.77 109.43 104.49 104.41
Low 103.11 103.13 103.43 102.25 101.90 101.28 102.31 103.41 102.35 101.38 102.16 102.30
Close/Last 105.53 103.53 103.46 102.25 102.98 101.49 104.67 104.74 104.27 104.17 103.67 104.00

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