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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 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   33 41 45 45 45 45 45 45 45 45 45
Closed Higher   16 19 27 16 20 20 20 19 27 19 21
Exceeded High   11 15 23 13 15 16 17 14 20 17 15
Scenario Percentage   69% 79% 85% 81% 75% 80% 85% 74% 74% 89% 71%
Avg Max Increase   3.22% 4.50% 2.68% 4.24% 4.03% 4.48% 3.11% 5.14% 5.51% 3.86% 2.65%
Max Increase   5.72% 10.16% 9.78% 14.48% 10.90% 8.85% 9.51% 14.97% 18.98% 11.71% 6.57%
Avg Days To Max Increase   18 17 13 17 19 14 16 20 15 12 10
Avg Max Decline   -0.37% -0.89% -1.33% -1.28% -1.41% -1.61% -1.56% -1.15% -1.00% -1.42% -0.65%
Max Decline   -1.86% -4.06% -4.22% -2.92% -7.41% -3.95% -6.04% -4.56% -3.59% -3.70% -2.58%
Avg Days to Max Decline   5 9 9 11 10 9 7 8 6 7 2
2023 Contract Condition     Yes Yes Yes   Yes Yes   Yes Yes  
Action     Yes 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   33 41 45 45 45 45 45 45 45 45 45
Closed Lower   17 22 18 29 25 25 25 26 17 26 24
Penetrated Low   14 14 17 24 24 23 19 17 15 21 18
Scenario Percentage   82% 64% 94% 83% 96% 92% 76% 65% 88% 81% 75%
Avg Max Decline   2.47% 4.12% 5.32% 4.23% 3.72% 3.90% 4.91% 3.93% 3.62% 3.16% 2.57%
Max Decline   5.50% 11.68% 12.47% 11.73% 12.31% 8.93% 9.97% 9.95% 7.35% 8.25% 9.89%
Avg Days To Max Decline   14 21 15 18 17 19 17 18 14 14 10
Avg Max Increase   -0.47% -1.86% -0.76% -1.37% -1.34% -1.23% -0.86% -1.67% -0.65% -1.26% -0.90%
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
2023 Contract Condition   Yes       Yes     Yes     Yes
Action   Yes       Yes     No     Yes
High 107.93 105.84 110.58 111.92 112.86 112.90 112.40 114.71 114.99 113.41 117.65 115.54
Low 103.99 103.15 102.58 109.40 109.25 108.49 108.21 110.70 110.68 110.92 111.93 112.91
Close/Last 104.79 103.60 109.44 111.16 111.81 108.65 111.30 113.60 111.09 112.64 115.32 113.40

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