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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, 2019
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   29 38 42 43 43 44 44 44 44 44 44
Closed Higher   14 17 24 16 21 21 20 19 25 18 23
Exceeded High   8 13 20 13 15 17 17 13 19 17 15
Scenario Percentage   57% 76% 83% 81% 71% 81% 85% 68% 76% 94% 65%
Avg Max Increase   3.64% 5.40% 3.61% 4.89% 4.13% 4.30% 3.32% 5.89% 6.29% 4.43% 2.65%
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 18 14 19 21 16 17 19 15 12 10
Avg Max Decline   -0.28% -0.97% -1.35% -1.11% -1.46% -1.50% -1.60% -0.90% -0.78% -1.46% -0.65%
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
2018 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 38 42 43 43 44 44 44 44 44 44
Closed Lower   15 21 18 27 22 23 24 25 18 26 21
Penetrated Low   12 14 17 22 21 22 18 17 16 19 14
Scenario Percentage   80% 67% 94% 81% 95% 96% 75% 68% 89% 73% 67%
Avg Max Decline   2.76% 4.12% 5.32% 4.31% 3.81% 4.00% 5.13% 3.93% 4.02% 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   15 21 15 17 18 20 18 18 16 15 10
Avg Max Increase   -0.42% -1.86% -0.76% -1.42% -1.24% -1.36% -0.89% -1.67% -0.56% -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 9 10 6 12 6 9 3
2018 Contract Condition   Yes       Yes Yes Yes   Yes Yes  
Action   Yes       Yes Yes Yes   Yes Not Yet  
High 108.52 105.46 104.50 104.78 109.45 110.65 108.83 106.46 102.71 103.04 102.04 103.73
Low 105.12 102.29 102.00 102.85 103.66 107.54 105.86 102.08 100.55 100.75 99.84 100.42
Close/Last 105.84 102.58 103.89 104.77 109.42 107.82 106.01 102.16 102.46 101.55 101.40 103.27

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