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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Australian Dollar(CME) as of Jan 01, 2018
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   20 20 20 27 28 29 30 31 31 31 31
Closed Higher   8 15 10 18 9 17 15 14 16 20 16
Exceeded High   6 14 10 14 8 14 14 13 14 16 11
Scenario Percentage   75% 93% 100% 78% 89% 82% 93% 93% 88% 80% 69%
Avg Max Increase   3.81% 4.98% 4.71% 4.16% 2.61% 3.69% 3.29% 4.12% 4.46% 3.86% 1.78%
Max Increase   5.69% 13.48% 15.16% 12.59% 5.02% 9.61% 8.52% 11.04% 9.75% 8.12% 4.11%
Avg Days To Max Increase   13 19 15 18 13 16 18 17 14 11 10
Avg Max Decline   -0.37% -1.50% -0.71% -0.74% -1.07% -1.24% -2.04% -1.23% -1.13% -0.71% -0.40%
Max Decline   -0.88% -5.28% -2.13% -4.00% -3.41% -4.51% -10.20% -3.23% -3.12% -2.43% -1.25%
Avg Days to Max Decline   8 8 4 5 12 7 15 7 8 4 3
2017 Contract Condition   Yes Yes       Yes Yes        
Action   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   20 20 20 27 28 29 30 31 31 31 31
Closed Lower   12 5 10 9 19 12 15 17 15 11 15
Penetrated Low   6 4 6 9 14 7 13 12 10 9 8
Scenario Percentage   50% 80% 60% 100% 74% 58% 87% 71% 67% 82% 53%
Avg Max Decline   3.78% 4.76% 4.82% 4.87% 2.87% 4.45% 5.35% 6.61% 5.85% 2.75% 2.04%
Max Decline   11.65% 8.78% 10.14% 11.64% 6.26% 11.65% 16.33% 29.41% 24.23% 6.50% 3.69%
Avg Days To Max Decline   9 14 16 20 17 11 15 18 21 15 11
Avg Max Increase   -2.14% -0.43% -0.41% -1.12% -1.38% -1.12% -1.24% -1.16% -1.32% -1.39% -0.79%
Max Increase   -6.58% -0.74% -1.57% -2.41% -4.71% -2.36% -5.96% -3.09% -3.42% -2.36% -1.87%
Avg Days to Max Increase   10 4 12 9 10 12 11 8 9 7 5
2017 Contract Condition       Yes Yes Yes     Yes Yes Yes Yes
Action       Yes Yes No     Yes Yes Yes Yes
High 74.42 75.41 76.86 76.96 75.75 75.20 76.94 80.50 80.28 81.15 78.91 77.26
Low 71.15 71.66 75.24 74.72 74.24 73.12 73.57 75.56 77.96 77.92 76.21 75.30
Close/Last 71.59 75.38 76.28 76.14 74.58 74.15 76.66 79.85 79.39 78.36 76.52 75.65

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