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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, 2018
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   36 38 41 43 43 43 43 43 43 43 43
Closed Higher   14 19 19 19 18 24 18 22 28 22 19
Exceeded High   11 14 15 16 12 18 17 18 24 14 14
Scenario Percentage   79% 74% 79% 84% 67% 75% 94% 82% 86% 64% 74%
Avg Max Increase   5.14% 4.08% 4.61% 3.26% 6.28% 6.47% 5.94% 5.73% 4.09% 4.53% 2.26%
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 19 17 17 19 15 21 17 17 12 7
Avg Max Decline   -0.92% -1.36% -1.52% -1.56% -0.79% -0.74% -1.81% -1.34% -1.37% -0.85% -0.55%
Max Decline   -2.87% -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   12 7 9 10 9 7 14 7 10 4 3
2017 Contract Condition   Yes   Yes Yes Yes Yes   Yes     Yes
Action   Yes   Yes Yes Yes Yes   No     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   36 38 41 43 43 43 43 43 43 43 43
Closed Lower   22 19 22 24 25 19 25 21 15 21 24
Penetrated Low   17 16 19 18 17 16 19 14 13 18 14
Scenario Percentage   77% 84% 86% 75% 68% 84% 76% 67% 87% 86% 58%
Avg Max Decline   3.59% 4.13% 3.96% 5.13% 3.90% 4.06% 3.64% 4.53% 4.01% 3.39% 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 19 22 19 20 16 18 15 15 9 7
Avg Max Increase   -1.14% -1.05% -1.36% -0.95% -1.65% -0.51% -1.30% -1.32% -2.13% -0.93% -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 10 9 6 14 6 11 6 10 4 2
2017 Contract Condition     Yes         Yes   Yes Yes  
Action     Yes         Yes   Yes Yes  
High 101.89 103.41 103.31 103.61 102.43 104.73 105.79 106.96 106.83 106.81 103.79 102.39
Low 99.43 99.21 100.74 100.34 100.69 100.50 103.64 103.75 103.19 102.90 99.93 99.91
Close/Last 100.55 103.30 101.51 101.67 102.13 104.73 105.41 104.36 104.89 103.78 100.51 101.71

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