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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 Dec 06, 2024
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 19 22 21 22 27 16 19 20 20 20
Exceeded High   11 16 20 15 18 21 13 14 16 16 12
Scenario Percentage   85% 84% 91% 71% 82% 78% 81% 74% 80% 80% 60%
Avg Max Increase   4.30% 4.83% 3.91% 4.48% 4.68% 3.08% 4.42% 4.36% 4.50% 2.58% 1.78%
Max Increase   10.52% 11.08% 11.13% 12.27% 10.39% 9.93% 14.44% 10.82% 8.87% 4.63% 4.08%
Avg Days To Max Increase   17 15 17 22 18 14 17 20 16 10 8
Avg Max Decline   -1.00% -0.95% -0.88% -0.39% -1.04% -1.65% -1.37% -1.66% -1.64% -1.28% -0.50%
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 8 11 4 9 8 11 11 9 4 2
2024 Contract Condition   Yes     Yes Yes Yes         Yes
Action   No     Yes Yes No         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 18 19 24 22 18 29 26 25 24 25
Penetrated Low   17 15 17 19 15 17 23 25 23 17 15
Scenario Percentage   77% 83% 89% 79% 68% 94% 79% 96% 92% 71% 60%
Avg Max Decline   3.03% 3.93% 3.15% 3.19% 4.44% 5.39% 4.63% 3.89% 3.77% 4.42% 1.71%
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 13 15 17 19 17 17 17 18 11 8
Avg Max Increase   -0.95% -0.90% -1.52% -0.69% -1.65% -1.03% -1.34% -1.38% -1.34% -0.87% -0.58%
Max Increase   -4.02% -3.18% -5.25% -3.39% -5.28% -4.57% -3.66% -5.47% -4.41% -4.15% -1.55%
Avg Days to Max Increase   8 7 11 7 11 5 11 11 10 4 3
2024 Contract Condition     Yes Yes       Yes Yes Yes Yes  
Action     Yes Yes       Yes Yes Yes Yes  
High 116.34 120.89 118.80 117.22 115.47 117.67 122.03 120.30 118.55 115.77 112.02 111.63
Low 114.06 115.24 116.43 111.75 111.45 112.70 115.77 116.35 114.07 111.20 109.34 109.00
Close/Last 115.86 118.66 116.80 112.39 112.81 116.69 120.87 117.93 114.37 111.82 109.38 110.96

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