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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, 2016
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   34 36 39 41 41 41 41 41 41 41 41
Closed Higher   13 18 17 18 17 22 17 21 27 22 18
Exceeded High   10 13 13 15 11 17 16 18 23 14 13
Scenario Percentage   77% 72% 76% 83% 65% 77% 94% 86% 85% 64% 72%
Avg Max Increase   5.62% 4.05% 5.00% 3.24% 6.66% 6.77% 6.22% 5.73% 4.21% 4.39% 2.12%
Max Increase   14.24% 11.04% 8.65% 9.43% 14.68% 18.56% 18.03% 11.77% 11.82% 9.17% 3.97%
Avg Days To Max Increase   18 19 17 16 19 15 22 17 18 12 7
Avg Max Decline   -0.72% -1.39% -1.51% -1.56% -0.77% -0.71% -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 10 8 7 14 7 10 4 3
2015 Contract Condition   Yes     Yes   Yes   Yes      
Action   No     Yes   No   No      
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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   34 36 39 41 41 41 41 41 41 41 41
Closed Lower   21 18 22 23 24 19 24 20 14 19 23
Penetrated Low   17 15 19 17 16 16 18 13 12 16 13
Scenario Percentage   81% 83% 86% 74% 67% 84% 75% 65% 86% 84% 57%
Avg Max Decline   3.59% 4.33% 3.96% 5.22% 4.13% 4.06% 3.77% 4.70% 4.04% 3.50% 1.85%
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 20 22 19 19 16 17 14 16 10 7
Avg Max Increase   -1.14% -1.14% -1.36% -0.94% -1.48% -0.51% -1.24% -1.28% -2.30% -0.82% -0.32%
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 9 6 13 6 10 5 11 4 2
2015 Contract Condition     Yes Yes   Yes   Yes   Yes Yes Yes
Action     Yes No   Yes   Yes   Yes Yes Not Yet
High 104.70 119.12 110.70 105.90 108.44 110.51 109.83 107.80 108.42 105.27 105.72 101.79
Low 101.51 98.92 106.12 100.22 103.29 105.86 106.63 103.40 101.42 101.87 100.56 96.86
Close/Last 101.51 110.67 106.12 104.05 108.44 107.28 107.66 103.82 103.91 102.82 101.31 97.34

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