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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 34 37 39 39 39 39 39 39 39 39
Closed Higher   12 17 17 16 17 20 17 20 27 22 18
Exceeded High   10 12 13 13 11 16 16 18 23 14 13
Scenario Percentage   83% 71% 76% 81% 65% 80% 94% 90% 85% 64% 72%
Avg Max Increase   5.62% 4.34% 5.00% 3.54% 6.66% 7.19% 6.22% 5.73% 4.21% 4.53% 2.35%
Max Increase   14.24% 11.04% 8.65% 9.43% 14.68% 18.56% 18.03% 11.77% 11.82% 9.17% 5.00%
Avg Days To Max Increase   18 20 17 18 19 16 22 17 18 12 8
Avg Max Decline   -0.72% -1.42% -1.51% -1.78% -0.77% -0.75% -1.82% -1.34% -1.29% -0.85% -0.57%
Max Decline   -2.60% -7.48% -3.53% -5.96% -2.27% -2.40% -7.31% -5.63% -4.51% -2.12% -2.23%
Avg Days to Max Decline   10 7 6 11 8 7 14 7 10 4 3
2013 Contract Condition   Yes     Yes   Yes Yes   Yes    
Action   Yes     Yes   No 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 34 37 39 39 39 39 39 39 39 39
Closed Lower   20 17 20 23 22 19 22 19 12 17 21
Penetrated Low   17 14 18 17 14 16 16 12 10 14 12
Scenario Percentage   85% 82% 90% 74% 64% 84% 73% 63% 83% 82% 57%
Avg Max Decline   3.59% 4.24% 4.09% 5.22% 4.34% 4.06% 3.76% 4.66% 4.06% 3.54% 1.88%
Max Decline   8.37% 12.55% 9.79% 9.67% 10.11% 7.86% 8.26% 13.81% 9.25% 7.78% 5.75%
Avg Days To Max Decline   18 21 22 19 18 16 17 15 16 9 7
Avg Max Increase   -1.14% -1.24% -1.38% -0.94% -1.46% -0.51% -1.33% -1.38% -2.28% -0.83% -0.30%
Max Increase   -3.95% -5.62% -3.63% -4.25% -3.67% -3.38% -4.14% -4.11% -5.61% -3.20% -1.16%
Avg Days to Max Increase   8 11 7 6 12 6 10 5 10 3 2
2013 Contract Condition     Yes Yes   Yes     Yes   Yes Yes
Action     Yes Yes   No     Yes   Yes Not Yet
High 110.47 110.38 110.62 107.18 108.91 108.33 109.63 108.42 109.38 110.93 112.53 110.77
Low 107.88 107.42 107.18 105.31 105.76 102.30 104.44 102.98 106.67 105.84 109.00 108.04
Close/Last 110.11 110.38 107.18 105.81 107.90 104.44 106.16 108.42 107.51 110.69 110.47 110.28

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