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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for DJIA Index as of Jul 10, 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
2020 Contract Condition         Yes Yes Yes Yes        
Action         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 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
2020 Contract Condition   Yes Yes Yes                
Action   Yes Yes No                
High 28702 29374 29569 27096 24765 25759 27580 26298        
Low 27325 28170 24681 18214 20735 22790 24843 25526        
Close/Last 28538 28256 25409 21917 24346 25383 25813 26075        

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