MRCI's ScenarioSM Study

ScenarioSM Study for June Swiss Franc(CME) as of Dec 27, 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