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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Nikkei 225 Index 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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   28 24 26 29 22 27 20 21 19 23 27
Exceeded High   24 18 24 25 18 23 14 17 18 16 21
Scenario Percentage   86% 75% 92% 86% 82% 85% 70% 81% 95% 70% 78%
Avg Max Increase   7.26% 7.82% 7.09% 5.41% 4.89% 4.25% 6.09% 4.31% 5.67% 8.16% 3.87%
Max Increase   16.49% 20.98% 28.59% 15.21% 19.53% 14.68% 16.70% 11.04% 14.87% 20.86% 10.58%
Avg Days To Max Increase   25 17 19 17 17 17 18 14 19 17 16
Avg Max Decline   -2.43% -0.83% -1.54% -1.13% -1.40% -1.77% -2.06% -2.07% -2.29% -1.46% -0.45%
Max Decline   -7.57% -4.84% -7.68% -5.34% -6.74% -9.12% -5.55% -4.74% -10.17% -7.54% -3.51%
Avg Days to Max Decline   14 10 7 9 8 10 8 11 11 8 3
2017 Contract Condition     Yes   Yes Yes Yes     Yes Yes Yes
Action     Yes   Yes Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   17 21 19 15 23 18 25 24 26 22 18
Penetrated Low   11 14 13 8 17 13 18 19 20 11 5
Scenario Percentage   65% 67% 68% 53% 74% 72% 72% 79% 77% 50% 28%
Avg Max Decline   11.11% 8.50% 5.81% 12.01% 6.16% 9.90% 9.88% 10.39% 10.31% 9.04% 6.05%
Max Decline   22.48% 22.34% 14.34% 16.92% 15.74% 26.28% 33.40% 46.49% 37.88% 20.46% 14.71%
Avg Days To Max Decline   14 13 13 21 15 20 18 15 17 20 14
Avg Max Increase   -2.29% -0.72% -1.06% -2.59% -2.20% -2.56% -1.39% -1.43% -2.37% -2.02% -0.11%
Max Increase   -5.77% -3.18% -3.47% -9.27% -8.14% -8.29% -5.84% -8.41% -9.98% -7.30% -2.58%
Avg Days to Max Increase   8 8 4 10 12 12 7 5 11 8 2
2017 Contract Condition   Yes   Yes       Yes Yes      
Action   No   Yes       Yes Yes      
High 19593 19615 19519 19668 19289 19998 20318 20201 20114 20481 22087 23382
Low 18227 18650 18805 18909 18225 19145 19686 19857 19280 19240 20363 21972
Close/Last 19114 19041 19119 18909 19197 19651 20033 19925 19646 20356 22012 22725

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