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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 21, 2022
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   12 21 24 22 21 26 16 20 20 20 20
Exceeded High   11 18 22 14 17 21 13 14 16 16 13
Scenario Percentage   92% 86% 92% 64% 81% 81% 81% 70% 80% 80% 65%
Avg Max Increase   5.99% 5.05% 3.80% 4.98% 5.13% 3.55% 5.14% 4.36% 4.39% 2.58% 1.57%
Max Increase   18.85% 12.61% 11.13% 12.27% 11.00% 11.11% 14.44% 10.82% 8.87% 4.63% 3.87%
Avg Days To Max Increase   19 16 18 23 17 14 18 20 16 10 6
Avg Max Decline   -0.99% -0.86% -1.01% -0.49% -1.03% -1.60% -1.39% -1.66% -1.60% -1.28% -0.45%
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   10 9 11 5 7 8 11 11 9 5 2
2021 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   34 36 40 45 45 45 45 45 45 45 45
Closed Lower   22 15 16 23 23 19 29 25 25 24 25
Penetrated Low   16 12 14 18 17 18 23 24 23 17 14
Scenario Percentage   73% 80% 88% 78% 74% 95% 79% 96% 92% 71% 56%
Avg Max Decline   2.94% 4.05% 3.56% 3.30% 4.16% 5.39% 4.49% 3.85% 3.83% 4.47% 1.71%
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 16 18 18 17 17 16 20 13 7
Avg Max Increase   -0.93% -0.90% -1.56% -0.68% -1.49% -0.98% -1.44% -1.39% -1.36% -0.89% -0.51%
Max Increase   -4.02% -3.18% -5.25% -3.39% -5.28% -4.57% -3.82% -5.47% -4.41% -4.15% -1.41%
Avg Days to Max Increase   8 7 11 7 11 5 10 11 10 4 3
2021 Contract Condition       Yes       Yes Yes Yes    
Action       No       Yes Yes Yes    
High 107.36 111.14 111.78 111.87 111.33 111.90 114.23 114.69 113.07 110.54 110.25 112.03
Low 105.16 106.81 109.31 108.45 109.45 109.42 110.90 112.52 110.17 105.92 105.76 109.23
Close/Last 106.71 110.43 111.65 109.37 109.77 111.00 113.52 112.70 110.31 105.95 109.60 111.21

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