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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September US Dollar Index(ICE) 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 29 31 31 31 31 31 31 31 31 31
Closed Higher   12 17 13 18 13 16 9 20 13 16 14
Exceeded High   10 10 11 13 12 14 8 18 12 11 8
Scenario Percentage   83% 59% 85% 72% 92% 88% 89% 90% 92% 69% 57%
Avg Max Increase   2.77% 3.71% 3.55% 3.09% 3.56% 3.63% 3.99% 2.40% 2.80% 2.98% 2.55%
Max Increase   5.41% 8.94% 8.79% 6.46% 11.65% 7.77% 8.45% 8.42% 6.58% 9.50% 5.01%
Avg Days To Max Increase   20 19 15 19 18 20 19 13 12 12 11
Avg Max Decline   -0.28% -0.83% -0.73% -1.32% -0.35% -1.11% -0.80% -1.55% -0.54% -0.60% -0.47%
Max Decline   -1.29% -2.09% -3.13% -2.62% -1.12% -3.11% -1.58% -4.18% -1.20% -1.51% -1.50%
Avg Days to Max Decline   7 13 5 7 13 14 7 10 6 4 4
2016 Contract Condition   Yes Yes   Yes       Yes Yes   Yes
Action   Yes No   No       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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 29 31 31 31 31 31 31 31 31 31
Closed Lower   17 12 18 13 18 15 22 11 18 15 17
Penetrated Low   11 9 14 11 13 14 16 9 16 14 14
Scenario Percentage   65% 75% 78% 85% 72% 93% 73% 82% 89% 93% 82%
Avg Max Decline   3.90% 4.09% 2.71% 3.40% 3.64% 3.90% 3.14% 3.75% 3.25% 2.24% 2.36%
Max Decline   9.09% 7.55% 7.67% 6.83% 6.82% 7.71% 8.54% 8.15% 7.14% 5.15% 4.13%
Avg Days To Max Decline   21 17 15 17 21 14 12 19 16 10 10
Avg Max Increase   -0.21% -0.59% -0.94% -0.72% -1.09% -1.02% -0.80% -0.92% -0.98% -1.11% -0.40%
Max Increase   -1.30% -1.90% -2.49% -2.47% -5.25% -3.06% -3.44% -2.64% -3.40% -3.11% -2.29%
Avg Days to Max Increase   5 4 9 6 11 7 6 5 8 6 2
2016 Contract Condition       Yes   Yes Yes Yes     Yes  
Action       Yes   Yes Yes Yes     Yes  
High 97.580 98.505 100.950 100.890 100.030 99.170 98.745 95.270 95.980 96.865 97.620 96.500
Low 95.248 94.500 97.373 97.395 98.403 95.500 94.450 93.065 92.000 93.025 95.335 94.050
Close/Last 97.040 97.465 100.560 98.865 99.775 98.425 94.660 93.148 95.892 96.203 95.490 96.013

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