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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 Dec 30, 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   35 37 40 42 42 42 42 42 42 42 42
Closed Higher   13 19 18 18 17 23 18 21 28 22 18
Exceeded High   10 14 14 15 11 17 17 18 24 14 13
Scenario Percentage   77% 74% 78% 83% 65% 74% 94% 86% 86% 64% 72%
Avg Max Increase   5.62% 4.08% 4.72% 3.24% 6.66% 6.77% 5.94% 5.73% 4.09% 4.64% 2.46%
Max Increase   14.24% 11.04% 8.65% 9.43% 14.68% 18.56% 18.03% 11.77% 11.82% 9.36% 6.47%
Avg Days To Max Increase   18 19 16 16 19 15 21 17 17 12 8
Avg Max Decline   -0.72% -1.36% -1.55% -1.56% -0.77% -0.71% -1.81% -1.34% -1.37% -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 7 10 8 7 14 7 10 4 3
2016 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   35 37 40 42 42 42 42 42 42 42 42
Closed Lower   22 18 22 24 25 19 24 21 14 20 24
Penetrated Low   17 15 19 18 17 16 18 14 12 17 14
Scenario Percentage   77% 83% 86% 75% 68% 84% 75% 67% 86% 85% 58%
Avg Max Decline   3.59% 4.33% 3.96% 5.13% 3.90% 4.06% 3.77% 4.53% 4.04% 3.56% 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 20 16 17 15 16 10 7
Avg Max Increase   -1.14% -1.14% -1.36% -0.95% -1.65% -0.51% -1.24% -1.32% -2.30% -0.98% -0.40%
Max Increase   -3.95% -5.62% -3.63% -4.25% -4.35% -3.38% -4.14% -4.11% -5.61% -3.67% -1.43%
Avg Days to Max Increase   8 11 9 6 14 6 10 6 11 4 2
2016 Contract Condition   Yes     Yes Yes     Yes   Yes Yes
Action   No     Yes Yes     Yes   Yes Yes
High 103.92 102.54 104.68 105.73 106.45 106.64 106.02 104.54 105.56 104.20 103.50 104.93
Low 99.64 99.20 99.57 101.01 103.36 101.59 101.92 101.35 102.04 99.94 100.28 98.09
Close/Last 101.90 99.20 101.83 105.47 105.44 101.60 103.19 104.07 102.34 103.50 101.22 98.44

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