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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 Jun 08, 2020
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   38 40 43 45 45 45 45 45 45 45 45
Closed Higher   15 19 19 19 20 25 18 23 28 23 20
Exceeded High   12 14 15 16 14 19 17 19 24 14 15
Scenario Percentage   80% 74% 79% 84% 70% 76% 94% 83% 86% 61% 75%
Avg Max Increase   4.79% 4.08% 4.61% 3.26% 5.62% 6.17% 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 19 15 21 17 17 12 8
Avg Max Decline   -0.96% -1.36% -1.52% -1.56% -0.74% -0.83% -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 9 8 14 7 10 4 3
2019 Contract Condition           Yes Yes       Yes  
Action           Yes Yes       Not Yet  
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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   38 40 43 45 45 45 45 45 45 45 45
Closed Lower   23 21 24 26 25 20 27 22 17 22 25
Penetrated Low   18 18 21 19 17 17 20 15 15 19 14
Scenario Percentage   78% 86% 88% 73% 68% 85% 74% 68% 88% 86% 56%
Avg Max Decline   3.51% 4.13% 3.96% 4.94% 3.90% 3.92% 3.52% 4.34% 3.79% 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 14 15 10 7
Avg Max Increase   -1.08% -1.00% -1.26% -0.87% -1.65% -0.50% -1.36% -1.30% -1.91% -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 10 4 2
2019 Contract Condition   Yes Yes Yes Yes     Yes Yes Yes   Yes
Action   Yes Yes Yes No     Yes Yes Yes   Not Yet
High 105.41 106.07 103.71 103.62 103.04 101.75 104.65 103.27 104.66 102.99 102.05 101.82
Low 103.94 103.45 102.09 101.44 99.99 100.00 101.44 101.80 101.50 100.76 100.29 99.87
Close/Last 105.21 103.63 102.99 102.86 100.29 101.75 104.00 101.94 101.88 100.82 101.64 100.13

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