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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Australian Dollar(CME) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   15 15 16 24 24 25 27 27 27 27 28
Closed Higher   12 4 11 11 10 15 18 15 14 12 19
Exceeded High   9 4 9 10 9 12 15 11 11 10 14
Scenario Percentage   75% 100% 82% 91% 90% 80% 83% 73% 79% 83% 74%
Avg Max Increase   4.39% 3.52% 3.86% 3.59% 4.81% 4.87% 4.25% 3.52% 3.81% 3.20% 1.75%
Max Increase   12.44% 4.62% 9.04% 8.38% 10.90% 9.77% 8.20% 8.64% 9.59% 6.19% 2.79%
Avg Days To Max Increase   18 13 15 18 19 15 17 14 20 11 8
Avg Max Decline   -0.77% -1.09% -0.76% -1.96% -0.94% -0.99% -0.91% -1.01% -1.65% -0.49% -0.40%
Max Decline   -3.75% -3.04% -4.08% -8.21% -2.10% -2.89% -2.40% -4.07% -4.04% -1.04% -2.50%
Avg Days to Max Decline   6 13 7 19 5 8 7 9 10 3 2
2014 Contract Condition             Yes Yes       Yes
Action             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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   15 15 16 24 24 25 27 27 27 27 28
Closed Lower   3 11 5 13 14 10 9 12 13 15 9
Penetrated Low   3 8 3 11 9 7 7 9 9 8 6
Scenario Percentage   100% 73% 60% 85% 64% 70% 78% 75% 69% 53% 67%
Avg Max Decline   6.30% 2.31% 6.38% 4.93% 7.73% 6.36% 2.92% 2.94% 3.46% 3.61% 2.08%
Max Decline   11.22% 5.92% 10.36% 15.75% 28.73% 23.67% 7.61% 7.25% 6.27% 10.68% 6.75%
Avg Days To Max Decline   20 14 11 15 19 18 18 18 18 7 6
Avg Max Increase   -1.27% -1.18% -1.69% -1.07% -0.75% -0.88% -1.47% -1.70% -2.01% -0.99% -0.24%
Max Increase   -2.19% -4.56% -2.41% -5.49% -2.73% -1.84% -1.99% -4.96% -5.09% -2.54% -0.96%
Avg Days to Max Increase   3 6 16 8 8 4 15 18 10 5 1
2014 Contract Condition   Yes Yes Yes Yes Yes     Yes Yes Yes  
Action   Yes Yes Yes Yes No     Yes Yes Not Yet  
High 102.14 102.90 101.36 95.70 91.53 90.91 94.16 96.61 94.54 91.08 90.49 90.65
Low 99.25 100.21 93.91 89.99 88.35 87.65 87.91 91.99 89.96 87.72 86.32 87.05
Close/Last 101.47 101.36 93.91 89.99 88.77 87.91 92.26 93.75 90.38 88.82 87.21 89.20

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