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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Swiss Franc(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   24 33 37 38 38 39 39 39 39 39 39
Closed Higher   14 16 21 13 19 19 17 17 21 17 20
Exceeded High   8 12 17 11 13 15 14 11 17 16 14
Scenario Percentage   57% 75% 81% 85% 68% 79% 82% 65% 81% 94% 70%
Avg Max Increase   3.64% 5.40% 3.67% 5.64% 4.34% 4.57% 3.54% 6.71% 6.93% 4.61% 2.78%
Max Increase   5.72% 11.22% 11.41% 14.48% 10.90% 8.85% 9.51% 14.97% 18.98% 11.71% 6.57%
Avg Days To Max Increase   17 17 13 19 22 15 17 19 15 12 9
Avg Max Decline   -0.28% -0.96% -1.23% -0.89% -1.51% -1.48% -1.73% -0.92% -0.79% -1.45% -0.64%
Max Decline   -1.86% -4.06% -4.22% -2.66% -7.41% -3.95% -6.04% -2.46% -2.75% -3.70% -2.58%
Avg Days to Max Decline   3 7 7 10 10 6 9 8 7 7 2
2013 Contract Condition   Yes Yes Yes Yes     Yes   Yes Yes  
Action   Yes Yes Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   24 33 37 38 38 39 39 39 39 39 39
Closed Lower   10 17 16 25 19 20 22 22 17 22 19
Penetrated Low   7 11 15 22 18 20 16 14 15 16 12
Scenario Percentage   70% 65% 94% 88% 95% 100% 73% 64% 88% 73% 63%
Avg Max Decline   2.84% 4.57% 5.76% 4.31% 3.76% 4.06% 5.44% 4.33% 4.18% 3.41% 3.25%
Max Decline   5.50% 11.68% 12.47% 11.73% 12.31% 8.93% 9.97% 9.95% 7.79% 8.25% 9.89%
Avg Days To Max Decline   12 22 16 17 18 21 18 15 17 16 11
Avg Max Increase   -0.26% -1.83% -0.95% -1.42% -1.42% -1.39% -0.91% -1.46% -0.57% -1.30% -1.14%
Max Increase   -2.84% -7.34% -4.38% -3.85% -5.83% -4.37% -4.15% -5.62% -3.46% -4.06% -4.41%
Avg Days to Max Increase   2 12 6 12 11 9 6 9 6 10 3
2013 Contract Condition           Yes Yes   Yes     Yes
Action           Yes Yes   No     Yes
High 108.56 109.13 108.61 110.25 110.24 110.48 107.42 108.75 108.20 109.62 108.40 109.36
Low 105.65 107.06 106.02 107.64 107.27 107.02 105.00 105.59 101.86 104.01 102.59 106.44
Close/Last 107.07 108.03 108.40 109.89 110.24 107.02 105.62 107.77 104.31 106.04 108.32 107.42

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