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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, 2019
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   37 39 42 44 44 44 44 44 44 44 44
Closed Higher   15 19 19 19 19 24 18 23 28 22 20
Exceeded High   12 14 15 16 13 18 17 19 24 14 15
Scenario Percentage   80% 74% 79% 84% 68% 75% 94% 83% 86% 64% 75%
Avg Max Increase   4.79% 4.08% 4.61% 3.26% 5.84% 6.47% 5.94% 5.51% 4.09% 4.53% 2.20%
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 18 15 21 17 17 12 8
Avg Max Decline   -0.96% -1.36% -1.52% -1.56% -0.78% -0.74% -1.81% -1.31% -1.37% -0.85% -0.54%
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 8 7 14 7 10 4 3
2018 Contract Condition   Yes       Yes     Yes     Yes
Action   Yes       Yes     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   37 39 42 44 44 44 44 44 44 44 44
Closed Lower   22 20 23 25 25 20 26 21 16 22 24
Penetrated Low   17 17 20 19 17 17 19 14 14 19 14
Scenario Percentage   77% 85% 87% 76% 68% 85% 73% 67% 88% 86% 58%
Avg Max Decline   3.59% 4.20% 4.02% 4.94% 3.90% 3.92% 3.64% 4.53% 3.99% 3.24% 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 21 19 20 15 18 15 14 10 7
Avg Max Increase   -1.14% -1.03% -1.31% -0.87% -1.65% -0.50% -1.30% -1.32% -1.96% -0.95% -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 8 6 14 6 11 6 9 4 2
2018 Contract Condition     Yes Yes Yes   Yes Yes   Yes Yes  
Action     Yes Yes Yes   Yes No   Yes Yes  
High 105.58 110.32 111.30 109.49 107.33 103.53 103.86 102.87 104.56 105.59 102.67 101.14
Low 103.62 104.52 108.69 106.85 103.06 101.51 101.61 100.69 101.26 102.53 99.46 99.02
Close/Last 105.58 110.32 108.76 106.97 103.06 103.34 102.41 102.24 104.11 102.84 99.58 100.15

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