MRCI's ScenarioSM Study

ScenarioSM Study for September Swiss Franc(CME) as of Jan 01, 2018
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		28	37	41	42	42	43	43	43	43	43	43
Closed Higher		14	16	23	15	21	21	20	18	25	18	22
Exceeded High		8	12	19	12	15	17	17	12	19	17	14
Scenario Percentage		57%	75%	83%	80%	71%	81%	85%	67%	76%	94%	64%
Avg Max Increase		3.64%	5.40%	3.51%	5.20%	4.13%	4.30%	3.32%	6.33%	6.29%	4.43%	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	14	19	21	16	17	20	15	12	9
Avg Max Decline		-0.28%	-0.96%	-1.37%	-1.06%	-1.46%	-1.50%	-1.60%	-0.93%	-0.78%	-1.46%	-0.64%
Max Decline		-1.86%	-4.06%	-4.22%	-2.92%	-7.41%	-3.95%	-6.04%	-2.46%	-2.75%	-3.70%	-2.58%
Avg Days to Max Decline		3	7	9	12	10	9	8	8	7	7	2
2017 Contract Condition					Yes		Yes	Yes	Yes	Yes		Yes
Action					Yes		Yes	Yes	Yes	Yes		Not Yet

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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		28	37	41	42	42	43	43	43	43	43	43
Closed Lower		14	21	18	27	21	22	23	25	17	25	21
Penetrated Low		11	14	17	22	20	21	17	17	15	19	14
Scenario Percentage		79%	67%	94%	81%	95%	95%	74%	68%	88%	76%	67%
Avg Max Decline		2.96%	4.12%	5.32%	4.31%	3.73%	3.95%	5.34%	3.93%	4.18%	3.26%	2.99%
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		16	21	15	17	17	21	18	18	17	15	10
Avg Max Increase		-0.51%	-1.86%	-0.76%	-1.42%	-1.25%	-1.40%	-0.95%	-1.67%	-0.57%	-1.17%	-1.02%
Max Increase		-2.90%	-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		4	12	6	12	10	10	6	12	6	9	3
2017 Contract Condition		Yes	Yes	Yes		Yes					Yes
Action		Yes	Yes	Yes		Yes					Yes
High	105.79	105.02	105.91	101.24	102.78	102.69	103.01	101.94	104.13	105.19	106.33	106.22
Low	103.26	102.20	100.06	98.70	98.49	100.00	99.62	99.96	99.77	102.96	103.12	102.58
Close/Last	105.27	102.93	100.25	99.90	102.62	100.83	101.01	101.48	104.10	104.78	103.74	104.28