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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Nikkei 225 Index as of Sep 30, 2017
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   34 35 35 35 35 35 35 35 35 35 35
Closed Higher   20 19 21 21 18 19 17 17 13 18 22
Exceeded High   18 14 20 20 15 16 12 13 13 13 17
Scenario Percentage   90% 74% 95% 95% 83% 84% 71% 76% 100% 72% 77%
Avg Max Increase   8.25% 8.91% 7.93% 5.88% 5.32% 4.88% 6.54% 4.96% 6.29% 9.27% 4.31%
Max Increase   16.49% 20.98% 28.59% 15.21% 19.53% 14.68% 16.70% 11.04% 10.60% 20.86% 10.58%
Avg Days To Max Increase   26 19 18 17 19 17 17 16 23 19 18
Avg Max Decline   -2.84% -0.80% -1.63% -1.10% -1.74% -2.16% -2.24% -2.41% -3.12% -1.79% -0.65%
Max Decline   -7.57% -4.84% -7.68% -4.88% -6.74% -9.12% -5.55% -4.94% -10.17% -7.54% -3.51%
Avg Days to Max Decline   13 8 7 8 9 10 9 14 12 9 3
2017 Contract Condition     Yes   Yes Yes Yes     Yes Yes  
Action     Yes   Yes Yes No     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   34 35 35 35 35 35 35 35 35 35 35
Closed Lower   14 16 14 14 17 16 18 18 22 17 13
Penetrated Low   10 9 10 8 14 12 13 14 18 9 3
Scenario Percentage   71% 56% 71% 57% 82% 75% 72% 78% 82% 53% 23%
Avg Max Decline   11.46% 10.06% 6.57% 12.01% 7.01% 9.69% 10.78% 10.84% 10.28% 9.50% 6.10%
Max Decline   22.47% 22.34% 14.33% 16.92% 15.74% 26.28% 33.39% 46.49% 37.88% 20.46% 7.71%
Avg Days To Max Decline   15 11 14 21 14 20 17 13 17 22 14
Avg Max Increase   -2.19% -0.56% -1.34% -2.59% -2.34% -2.81% -1.83% -1.96% -2.76% -2.40% -1.81%
Max Increase   -5.77% -3.18% -3.47% -9.28% -8.14% -8.29% -5.84% -8.41% -9.98% -7.30% -2.62%
Avg Days to Max Increase   7 3 5 10 10 12 7 6 10 9 5
2017 Contract Condition   Yes   Yes       Yes Yes      
Action   No   Yes       Yes Yes      
High 19593 19615 19519 19668 19289 19998 20318 20201 20114 20481 20411  
Low 18227 18650 18805 18909 18225 19145 19686 19857 19280 19240 20363  
Close/Last 19114 19041 19119 18909 19197 19651 20033 19925 19646 20356 20401  

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