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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December EuroFX(CME) as of Dec 30, 2016
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   18 18 18 18 18 18 18 18 18 18 18
Closed Higher   6 10 8 10 6 10 8 9 11 9 8
Exceeded High   5 8 8 7 4 7 8 6 8 7 6
Scenario Percentage   83% 80% 100% 70% 67% 70% 100% 67% 73% 78% 75%
Avg Max Increase   3.39% 3.87% 5.12% 3.77% 4.04% 3.42% 3.45% 3.62% 3.87% 3.48% 2.11%
Max Increase   6.48% 7.39% 9.72% 10.97% 9.55% 8.58% 6.59% 5.58% 7.26% 5.35% 3.26%
Avg Days To Max Increase   17 21 19 16 17 17 18 15 19 13 11
Avg Max Decline   -1.03% -0.94% -1.20% -0.80% -1.33% -1.38% -1.34% -0.97% -1.23% -0.83% -0.51%
Max Decline   -2.89% -2.54% -2.95% -2.75% -2.69% -3.03% -3.54% -2.82% -2.19% -2.33% -0.95%
Avg Days to Max Decline   9 6 10 4 9 7 16 4 13 8 2
2016 Contract Condition     Yes Yes Yes     Yes   Yes    
Action     Yes 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   18 18 18 18 18 18 18 18 18 18 18
Closed Lower   12 8 10 8 12 8 10 9 7 9 10
Penetrated Low   8 6 9 6 11 5 7 7 7 7 5
Scenario Percentage   67% 75% 90% 75% 92% 63% 70% 78% 100% 78% 50%
Avg Max Decline   4.12% 4.75% 4.83% 5.36% 2.38% 2.89% 5.55% 5.19% 4.89% 3.64% 1.82%
Max Decline   7.26% 7.01% 9.94% 10.42% 3.67% 5.93% 10.80% 15.36% 12.79% 5.63% 3.65%
Avg Days To Max Decline   19 20 22 13 14 13 14 19 17 10 8
Avg Max Increase   -1.50% -0.62% -1.11% -0.66% -1.87% -0.59% -0.91% -1.02% -1.07% -0.98% -1.60%
Max Increase   -3.56% -1.50% -2.59% -2.11% -4.05% -2.31% -1.80% -1.94% -2.92% -3.00% -3.86%
Avg Days to Max Increase   6 6 11 4 14 5 6 5 6 5 3
2016 Contract Condition   Yes       Yes Yes   Yes   Yes Yes
Action   No       Yes No   Yes   Yes Yes
High 111.90 111.08 114.89 115.14 115.58 117.01 114.98 112.63 114.23 113.73 112.85 113.17
Low 106.94 108.50 109.39 109.32 113.14 111.84 109.94 110.20 111.09 111.64 108.75 105.27
Close/Last 110.00 109.48 110.01 114.90 115.42 112.09 111.45 112.46 112.12 112.77 109.87 106.04

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