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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June EuroFX(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   13 13 13 13 14 14 15 15 15 15 15
Closed Higher   6 7 8 8 7 8 6 8 7 7 6
Exceeded High   6 6 7 7 5 5 5 6 7 5 5
Scenario Percentage   100% 86% 88% 88% 71% 63% 83% 75% 100% 71% 83%
Avg Max Increase   3.78% 3.40% 3.91% 4.14% 5.08% 3.74% 3.69% 4.41% 5.83% 3.67% 1.95%
Max Increase   6.39% 5.50% 7.34% 7.06% 9.95% 4.25% 6.98% 7.84% 9.75% 7.18% 3.39%
Avg Days To Max Increase   17 14 18 20 21 10 17 24 22 12 9
Avg Max Decline   -1.08% -0.72% -1.15% -0.71% -0.65% -1.72% -1.28% -1.12% -1.40% -0.82% -0.66%
Max Decline   -2.98% -2.62% -1.93% -2.15% -1.13% -3.69% -2.92% -2.73% -3.07% -2.80% -1.31%
Avg Days to Max Decline   14 3 12 7 6 7 9 6 5 4 2
2013 Contract Condition     Yes Yes Yes Yes Yes Yes     Yes  
Action     Yes No Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   13 13 13 13 14 14 15 15 15 15 15
Closed Lower   7 6 5 5 7 6 9 7 8 8 9
Penetrated Low   4 4 5 4 5 5 7 6 8 6 6
Scenario Percentage   57% 67% 100% 80% 71% 83% 78% 86% 100% 75% 67%
Avg Max Decline   5.31% 5.24% 4.48% 3.01% 3.61% 4.04% 3.94% 4.25% 5.39% 5.46% 1.66%
Max Decline   10.45% 14.53% 12.41% 5.24% 6.07% 6.20% 6.37% 7.17% 10.14% 10.78% 3.65%
Avg Days To Max Decline   12 14 16 12 22 22 18 18 23 9 8
Avg Max Increase   -0.91% -0.73% -0.69% -0.10% -2.24% -1.56% -1.77% -0.70% -1.35% -0.82% -0.63%
Max Increase   -1.44% -1.74% -1.48% -0.64% -3.72% -2.76% -3.74% -1.59% -2.96% -2.33% -0.98%
Avg Days to Max Increase   10 6 3 14 19 5 8 7 7 5 3
2013 Contract Condition   Yes             Yes Yes   Yes
Action   No             Yes Yes   Not Yet
High 127.44 127.16 126.83 132.00 131.58 130.25 133.26 136.04 137.31 131.43 132.08 132.48
Low 124.54 121.25 122.32 126.19 128.88 127.11 129.35 130.17 130.30 127.58 127.51 127.98
Close/Last 127.16 123.66 126.27 128.88 129.90 130.25 132.20 135.83 130.74 128.23 131.66 129.83

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