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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for DJIA Index as of May 10, 2021
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   27 26 29 31 26 24 29 25 18 25 33
Exceeded High   25 25 26 28 23 21 23 21 16 23 24
Scenario Percentage   93% 96% 90% 90% 88% 88% 79% 84% 89% 92% 73%
Avg Max Increase   5.54% 5.14% 6.18% 4.66% 5.13% 5.20% 4.47% 4.40% 6.22% 6.02% 3.10%
Max Increase   17.19% 10.33% 14.40% 13.28% 12.99% 13.15% 10.49% 16.09% 19.66% 13.83% 6.35%
Avg Days To Max Increase   17 16 18 13 20 16 16 14 20 21 20
Avg Max Decline   -1.20% -1.31% -1.59% -1.75% -1.70% -1.45% -1.72% -1.95% -1.56% -1.81% -1.28%
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 13 10 10 11 6 12 5
2020 Contract Condition         Yes Yes Yes Yes Yes     Yes
Action         Yes Yes 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 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   18 19 16 14 19 21 16 20 27 19 12
Penetrated Low   12 15 10 8 14 16 14 16 19 9 3
Scenario Percentage   67% 79% 63% 57% 74% 76% 88% 80% 70% 47% 25%
Avg Max Decline   9.01% 7.26% 3.02% 4.32% 5.75% 6.15% 7.28% 6.61% 8.66% 5.94% 3.16%
Max Decline   35.54% 28.32% 4.89% 10.25% 24.10% 18.50% 16.68% 18.97% 37.75% 20.12% 4.85%
Avg Days To Max Decline   10 10 13 14 14 15 19 14 17 13 8
Avg Max Increase   -1.57% -1.88% -1.81% -1.58% -1.49% -1.86% -2.32% -2.89% -2.55% -3.01% -1.08%
Max Increase   -4.65% -6.64% -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 8 4 2
2020 Contract Condition   Yes Yes Yes           Yes Yes  
Action   Yes Yes No           Yes No  
High 28702 29374 29569 27096 24765 25759 27580 27071 28733 29199 28958 30117
Low 27325 28170 24681 18214 20735 22790 24843 25526 26534 26537 26144 26691
Close/Last 28538 28256 25409 21917 24346 25383 25813 26428 28430 27782 26502 29639

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