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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 May 10, 2021
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   39 41 43 45 45 45 45 45 45 45 45
Closed Higher   16 19 19 19 20 26 19 23 28 23 21
Exceeded High   13 14 15 16 15 20 18 18 24 15 16
Scenario Percentage   81% 74% 79% 84% 75% 77% 95% 78% 86% 65% 76%
Avg Max Increase   4.69% 4.08% 4.61% 3.26% 5.65% 6.11% 5.69% 5.73% 4.09% 4.33% 2.02%
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   17 19 17 17 20 16 22 17 17 12 7
Avg Max Decline   -1.06% -1.36% -1.52% -1.56% -0.71% -0.80% -1.77% -1.19% -1.37% -0.82% -0.52%
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 8 13 6 10 4 3
2020 Contract Condition   Yes       Yes Yes Yes Yes   Yes Yes
Action   Yes       Yes 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   39 41 43 45 45 45 45 45 45 45 45
Closed Lower   23 22 24 26 25 19 26 22 17 22 24
Penetrated Low   18 19 20 20 17 16 19 15 15 19 14
Scenario Percentage   78% 86% 83% 77% 68% 84% 73% 68% 88% 86% 58%
Avg Max Decline   3.51% 4.07% 4.07% 4.76% 3.90% 3.67% 3.58% 4.34% 3.79% 3.18% 1.76%
Max Decline   8.37% 12.55% 9.79% 9.67% 10.11% 7.33% 8.26% 13.81% 9.25% 7.78% 5.75%
Avg Days To Max Decline   18 20 22 18 20 14 18 14 15 10 7
Avg Max Increase   -1.08% -1.17% -1.27% -0.85% -1.65% -0.55% -1.32% -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 10 6 10 4 2
2020 Contract Condition     Yes Yes Yes         Yes    
Action     Yes No Yes         No    
High 105.97 106.21 105.68 109.67 105.39 104.81 107.05 110.82 111.45 111.44 110.90 111.44
Low 103.57 105.00 103.65 102.18 103.18 102.97 104.37 105.87 108.59 107.81 108.69 108.74
Close/Last 105.97 105.98 105.37 104.89 104.28 104.57 106.10 109.83 111.04 108.77 109.17 110.37

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