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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Swiss Franc(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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   28 30 34 39 39 39 39 39 39 39 39
Closed Higher   10 18 23 21 18 22 13 20 19 18 16
Exceeded High   9 17 21 12 14 17 11 14 15 14 9
Scenario Percentage   90% 94% 91% 57% 78% 77% 85% 70% 79% 78% 56%
Avg Max Increase   7.02% 5.35% 3.93% 5.33% 5.44% 3.90% 5.76% 4.14% 4.55% 2.70% 2.00%
Max Increase   18.85% 12.61% 11.13% 12.27% 11.00% 11.11% 14.44% 10.82% 8.87% 4.65% 4.08%
Avg Days To Max Increase   21 17 19 22 17 15 19 21 17 10 7
Avg Max Decline   -0.92% -1.01% -0.92% -0.40% -1.15% -1.63% -1.00% -1.65% -1.51% -1.31% -0.40%
Max Decline   -2.35% -4.88% -4.15% -1.86% -4.07% -4.46% -2.71% -7.31% -3.91% -5.56% -1.20%
Avg Days to Max Decline   11 10 10 3 8 6 10 11 6 5 1
2014 Contract Condition   Yes   Yes     Yes   Yes   Yes  
Action   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   28 30 34 39 39 39 39 39 39 39 39
Closed Lower   18 12 11 18 20 17 26 19 20 21 23
Penetrated Low   13 9 9 13 14 16 21 18 20 16 15
Scenario Percentage   72% 75% 82% 72% 70% 94% 81% 95% 100% 76% 65%
Avg Max Decline   2.98% 4.45% 3.85% 3.63% 4.52% 5.79% 4.53% 3.89% 3.99% 4.67% 1.70%
Max Decline   8.02% 13.36% 8.76% 6.83% 11.57% 12.36% 12.27% 11.84% 8.28% 8.21% 4.09%
Avg Days To Max Decline   12 13 16 17 19 18 16 17 21 13 8
Avg Max Increase   -0.97% -0.90% -1.94% -0.56% -1.34% -1.13% -1.55% -1.47% -1.50% -0.94% -0.58%
Max Increase   -4.02% -3.18% -5.25% -2.83% -5.28% -4.57% -3.82% -5.47% -4.41% -4.15% -1.55%
Avg Days to Max Increase   7 6 11 7 10 6 10 13 11 4 3
2014 Contract Condition     Yes   Yes Yes   Yes   Yes   Yes
Action     Yes   Yes No   No   Yes   Yes
High 109.27 108.70 109.38 110.91 112.37 110.67 113.23 112.67 114.27 115.03 114.43 114.93
Low 104.75 103.28 107.18 106.15 109.74 108.62 110.27 109.46 110.34 112.44 111.79 111.24
Close/Last 106.48 108.70 107.73 110.91 110.67 110.48 112.67 110.34 113.99 113.18 113.69 111.74

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