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