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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for DJIA Index as of Mar 30, 2020
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 27 30 31 26 24 28 25 18 26 33
Exceeded High   26 26 27 28 23 21 22 21 16 24 23
Scenario Percentage   93% 96% 90% 90% 88% 88% 79% 84% 89% 92% 70%
Avg Max Increase   5.83% 5.45% 6.43% 4.46% 5.06% 4.71% 4.20% 4.41% 6.22% 5.92% 3.10%
Max Increase   17.19% 12.99% 14.40% 11.78% 12.99% 13.15% 8.35% 16.09% 19.66% 13.83% 6.35%
Avg Days To Max Increase   17 16 18 14 21 15 17 15 20 20 20
Avg Max Decline   -1.21% -1.31% -1.68% -1.58% -1.78% -1.55% -1.82% -2.19% -1.56% -1.81% -1.33%
Max Decline   -4.41% -5.49% -5.55% -7.19% -4.86% -4.42% -5.45% -7.27% -4.75% -7.49% -4.81%
Avg Days to Max Decline   8 9 9 7 14 10 11 12 6 11 5
2019 Contract Condition   Yes Yes Yes Yes   Yes Yes   Yes Yes Yes
Action   Yes Yes Yes Yes   Yes No   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 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 18 15 14 19 21 17 20 27 18 12
Penetrated Low   11 14 10 8 14 16 15 16 19 9 3
Scenario Percentage   65% 78% 67% 57% 74% 76% 88% 80% 70% 50% 25%
Avg Max Decline   6.59% 5.75% 3.02% 4.32% 5.75% 6.15% 7.17% 6.61% 8.43% 5.94% 3.16%
Max Decline   19.14% 14.52% 4.89% 10.25% 24.10% 18.50% 16.68% 18.97% 37.75% 20.12% 4.85%
Avg Days To Max Decline   9 9 13 14 14 15 19 14 15 13 8
Avg Max Increase   -1.29% -1.54% -1.81% -1.58% -1.49% -1.86% -2.22% -2.89% -2.36% -3.01% -1.08%
Max Increase   -3.92% -4.03% -6.39% -4.09% -4.51% -4.57% -8.56% -7.37% -5.90% -9.20% -1.64%
Avg Days to Max Increase   7 6 8 6 8 11 9 12 7 4 2
2019 Contract Condition           Yes     Yes      
Action           Yes     No      
High 25980 25110 26241 26156 26696 26689 26907 27399 27176 27307 27204 28175
Low 21713 22638 24883 25208 26063 24813 24681 26616 25340 25978 25743 27143
Close/Last 23327 25000 25916 25929 26593 24815 26600 26864 26403 26917 27046 28051

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