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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March E-mini DJIA Index(CBOT) as of Aug 18, 2023
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   22 22 22 23 23 24 25 26 26 26 26
Closed Higher   18 13 10 15 14 11 17 20 19 12 15
Exceeded High   15 10 9 12 11 10 17 18 17 10 12
Scenario Percentage   83% 77% 90% 80% 79% 91% 100% 90% 89% 83% 80%
Avg Max Increase   3.89% 4.31% 4.27% 4.79% 4.04% 6.87% 6.02% 4.76% 4.66% 4.23% 2.91%
Max Increase   13.94% 8.90% 11.19% 10.07% 7.06% 19.70% 12.55% 9.91% 8.49% 6.92% 6.65%
Avg Days To Max Increase   11 23 18 17 15 19 21 18 18 15 10
Avg Max Decline   -0.91% -2.12% -1.39% -1.36% -1.81% -1.91% -1.58% -1.58% -1.51% -0.82% -0.75%
Max Decline   -7.15% -4.56% -3.55% -4.88% -7.04% -4.85% -6.33% -4.91% -7.11% -2.72% -2.12%
Avg Days to Max Decline   7 18 14 10 11 4 12 11 9 7 2
2023 Contract Condition     Yes   Yes     Yes Yes   Yes  
Action     No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   22 22 22 23 23 24 25 26 26 26 26
Closed Lower   4 9 12 8 9 13 8 6 7 14 11
Penetrated Low   2 7 8 7 5 10 5 3 6 9 8
Scenario Percentage   50% 78% 67% 88% 56% 77% 63% 50% 86% 64% 73%
Avg Max Decline   6.65% 5.00% 5.55% 9.61% 8.68% 7.15% 10.27% 7.15% 9.39% 8.99% 7.09%
Max Decline   9.39% 13.66% 13.38% 24.83% 20.53% 31.84% 20.24% 15.12% 19.65% 27.69% 19.62%
Avg Days To Max Decline   17 9 14 14 8 14 19 22 22 9 12
Avg Max Increase   -1.66% -0.28% -1.48% -1.40% -2.28% -1.83% -2.57% -4.89% -2.96% -2.08% -2.12%
Max Increase   -3.41% -3.29% -3.96% -6.38% -5.44% -4.31% -4.75% -7.14% -6.40% -4.78% -6.75%
Avg Days to Max Increase   4 5 6 6 9 8 6 17 13 5 5
2023 Contract Condition   Yes   Yes   Yes Yes     Yes   Yes
Action   Yes   No   Yes Yes     Yes   Yes
High 35253 35492 34368 33503 33074 34361 32755 33217 34900 35228 34489 34551
Low 34328 33234 31499 30114 30440 31751 28961 28832 32000 32686 32943 32607
Close/Last 34670 33234 33253 30973 33074 31751 28982 33009 34854 33285 34156 32682

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