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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for NASDAQ 100 Index as of Jan 01, 2019
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   33 33 33 33 33 33 33 33 33 33 34
Closed Higher   22 18 21 19 23 15 21 20 19 21 22
Exceeded High   16 17 18 17 22 13 18 18 18 19 20
Scenario Percentage   73% 94% 86% 89% 96% 87% 86% 90% 95% 90% 91%
Avg Max Increase   8.59% 7.97% 8.48% 8.51% 5.87% 8.50% 6.45% 6.50% 9.29% 11.05% 5.59%
Max Increase   15.29% 15.72% 17.94% 16.40% 22.95% 12.91% 10.16% 19.67% 30.90% 42.20% 26.42%
Avg Days To Max Increase   22 20 21 15 17 21 19 19 20 16 14
Avg Max Decline   -2.06% -2.41% -2.47% -2.42% -2.55% -1.69% -2.54% -3.07% -4.05% -2.03% -1.16%
Max Decline   -12.33% -7.29% -9.12% -8.23% -7.61% -5.58% -7.48% -9.37% -20.96% -5.04% -3.62%
Avg Days to Max Decline   5 7 8 9 15 6 12 15 10 7 4
2018 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   33 33 33 33 33 33 33 33 33 33 34
Closed Lower   11 15 12 14 10 18 12 13 14 12 12
Penetrated Low   8 12 7 9 7 12 9 7 9 8 5
Scenario Percentage   73% 80% 58% 64% 70% 67% 75% 54% 64% 67% 42%
Avg Max Decline   7.21% 8.76% 7.05% 10.17% 10.15% 8.36% 12.98% 12.07% 16.93% 12.00% 9.82%
Max Decline   14.21% 29.33% 14.29% 23.28% 28.08% 18.55% 35.33% 25.91% 38.56% 33.74% 15.17%
Avg Days To Max Decline   13 16 14 20 14 12 15 13 15 16 15
Avg Max Increase   -2.36% -3.27% -1.59% -3.50% -2.77% -2.10% -2.98% -5.85% -2.16% -2.00% -5.01%
Max Increase   -9.02% -15.77% -2.98% -6.74% -9.11% -6.76% -9.38% -23.92% -6.78% -3.58% -19.32%
Avg Days to Max Increase   4 7 5 18 6 9 7 14 3 7 5
2018 Contract Condition     Yes Yes           Yes Yes Yes
Action     No Yes           Yes Yes Yes
High 6522.50 7022.75 7003.00 7186.00 6856.75 7016.25 7309.75 7511.25 7691.00 7657.75 7700.50 7205.75
Low 6234.00 6417.75 6164.25 6410.00 6322.50 6539.75 6950.00 6969.00 7221.25 7400.75 6574.75 6442.25
Close/Last 6396.25 6949.75 6854.25 6581.00 6605.50 6967.50 7040.75 7231.75 7654.50 7627.50 6967.00 6949.00

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