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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 Sep 22, 2023
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   35 37 41 45 45 45 45 45 45 45 45
Closed Higher   13 20 23 21 21 27 16 20 20 20 19
Exceeded High   12 17 21 14 17 22 13 14 16 16 11
Scenario Percentage   92% 85% 91% 67% 81% 81% 81% 70% 80% 80% 58%
Avg Max Increase   5.51% 5.29% 3.97% 4.21% 4.68% 2.97% 4.42% 4.36% 4.50% 2.58% 1.79%
Max Increase   18.85% 12.61% 11.13% 12.27% 10.39% 9.93% 14.44% 10.82% 8.87% 4.63% 4.08%
Avg Days To Max Increase   18 16 18 21 18 13 17 20 16 10 8
Avg Max Decline   -0.89% -0.90% -1.02% -0.41% -1.05% -1.60% -1.37% -1.66% -1.64% -1.28% -0.54%
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   9 8 10 5 10 8 11 11 9 4 2
2023 Contract Condition           Yes Yes Yes   Yes Yes  
Action           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   35 37 41 45 45 45 45 45 45 45 45
Closed Lower   22 17 18 24 23 18 29 25 25 24 26
Penetrated Low   17 14 16 19 16 17 23 24 23 17 15
Scenario Percentage   77% 82% 89% 79% 70% 94% 79% 96% 92% 71% 58%
Avg Max Decline   3.03% 3.88% 3.30% 3.19% 4.19% 5.39% 4.44% 3.84% 3.85% 4.53% 1.72%
Max Decline   8.02% 13.36% 8.76% 6.83% 11.57% 12.36% 12.27% 11.84% 8.48% 8.21% 4.09%
Avg Days To Max Decline   15 14 16 17 18 17 17 16 20 13 8
Avg Max Increase   -0.95% -0.94% -1.58% -0.69% -1.56% -1.03% -1.48% -1.42% -1.32% -0.86% -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 7 12 7 10 5 11 11 10 4 3
2023 Contract Condition   Yes Yes Yes Yes       Yes     Yes
Action   Yes Yes Yes Yes       Yes     Not Yet
High 107.93 107.83 109.21 107.34 104.91 109.47 110.82 111.85 111.93 111.53 113.69 113.94
Low 102.89 104.65 104.99 103.05 101.39 101.35 108.26 108.20 107.36 107.13 109.64 109.55
Close/Last 107.93 107.83 104.99 103.94 102.54 108.27 110.13 110.77 107.60 110.31 112.51 109.98

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