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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Canadian 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   33 34 35 37 37 37 37 38 38 38 38
Closed Higher   17 20 23 18 15 21 12 18 22 25 16
Exceeded High   13 16 15 12 14 17 11 16 17 19 8
Scenario Percentage   76% 80% 65% 67% 93% 81% 92% 89% 77% 76% 50%
Avg Max Increase   2.49% 2.99% 3.03% 2.05% 1.96% 2.11% 2.13% 2.73% 3.60% 2.30% 1.30%
Max Increase   5.50% 11.46% 9.39% 4.29% 4.34% 4.98% 4.31% 5.92% 15.65% 10.60% 2.82%
Avg Days To Max Increase   20 21 15 15 19 19 15 21 18 11 8
Avg Max Decline   -0.54% -0.44% -0.45% -0.45% -0.93% -0.84% -0.71% -1.04% -0.54% -0.51% -0.43%
Max Decline   -2.99% -2.51% -2.55% -2.21% -3.26% -4.68% -2.02% -3.58% -1.59% -1.99% -0.83%
Avg Days to Max Decline   5 5 9 5 16 11 8 11 7 5 2
2014 Contract Condition   Yes   Yes     Yes   Yes Yes Yes Yes
Action   Yes   No     No   Yes Yes Yes Not Yet
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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   33 34 35 37 37 37 37 38 38 38 38
Closed Lower   16 14 12 18 22 16 25 19 16 13 22
Penetrated Low   10 8 12 12 17 13 20 14 13 12 12
Scenario Percentage   63% 57% 100% 67% 77% 81% 80% 74% 81% 92% 55%
Avg Max Decline   2.00% 4.95% 1.62% 2.57% 2.68% 2.25% 2.51% 2.13% 1.53% 1.83% 1.12%
Max Decline   5.49% 17.67% 3.99% 7.59% 5.12% 4.51% 6.02% 3.75% 4.44% 6.31% 1.80%
Avg Days To Max Decline   16 18 18 16 20 15 13 14 14 15 8
Avg Max Increase   -0.29% -0.72% -0.69% -0.60% -0.49% -0.59% -0.51% -0.49% -0.51% -0.50% -0.06%
Max Increase   -1.54% -3.31% -2.35% -4.26% -2.62% -1.38% -2.00% -2.84% -1.82% -1.86% -0.41%
Avg Days to Max Increase   8 11 8 4 6 10 4 5 9 5 1
2014 Contract Condition     Yes   Yes Yes   Yes        
Action     No   Yes Yes   Yes        
High 97.45 96.80 96.80 97.26 96.78 95.51 94.23 94.05 91.38 91.06 91.95 92.40
Low 94.12 93.60 94.00 94.26 94.88 93.64 92.74 88.85 89.10 88.45 90.17 90.68
Close/Last 94.44 96.80 94.30 96.43 95.41 93.64 93.71 89.59 90.15 90.37 91.26 92.19

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