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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 Sep 29, 2023
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   15 19 18 18 20 26 19 22 26 22 21
Exceeded High   12 13 14 15 15 20 18 17 22 15 16
Scenario Percentage   80% 68% 78% 83% 75% 77% 95% 77% 85% 68% 76%
Avg Max Increase   4.83% 4.22% 4.69% 3.13% 5.25% 5.98% 5.57% 5.64% 4.04% 3.98% 2.04%
Max Increase   14.24% 11.04% 8.65% 9.43% 14.68% 18.56% 18.03% 11.77% 11.82% 9.17% 3.63%
Avg Days To Max Increase   17 19 16 17 20 15 20 17 17 11 8
Avg Max Decline   -1.16% -1.40% -1.59% -1.58% -1.08% -0.97% -1.68% -1.25% -1.47% -0.81% -0.56%
Max Decline   -2.87% -7.48% -3.53% -5.96% -4.30% -3.49% -7.31% -5.63% -4.51% -2.12% -2.23%
Avg Days to Max Decline   11 8 10 9 8 9 13 6 10 3 2
2023 Contract Condition   Yes   Yes Yes   Yes Yes        
Action   No   Yes Yes   Yes No        
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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   24 22 25 27 25 19 26 23 19 23 24
Penetrated Low   19 19 22 21 17 16 20 17 17 20 13
Scenario Percentage   79% 86% 88% 78% 68% 84% 77% 74% 89% 87% 54%
Avg Max Decline   3.57% 4.20% 4.08% 4.70% 3.90% 3.52% 3.64% 4.21% 3.56% 3.15% 1.94%
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   19 19 20 18 20 13 18 15 15 9 8
Avg Max Increase   -1.03% -1.17% -1.18% -0.80% -1.65% -0.58% -1.33% -1.34% -1.89% -0.95% -0.43%
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   9 10 8 6 14 6 10 6 11 4 2
2023 Contract Condition     Yes     Yes     Yes Yes    
Action     Yes     No     Yes Not Yet    
High 112.63 113.84 113.82 112.94 115.60 115.84 114.37 118.68 116.64 114.97    
Low 110.38 110.21 109.52 109.19 111.50 111.78 112.00 113.05 114.05 109.35    
Close/Last 112.12 112.81 109.69 112.17 114.59 112.19 113.74 116.46 114.52 110.16    

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