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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, 2010
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   24 24 24 24 24 24 24 24 24 24 25
Closed Higher   17 11 16 13 17 12 12 15 15 15 16
Exceeded High   11 10 13 13 16 10 11 13 15 14 15
Scenario Percentage   65% 91% 81% 100% 94% 83% 92% 87% 100% 93% 94%
Avg Max Increase   9.61% 9.90% 9.91% 9.39% 6.10% 8.81% 6.84% 7.92% 9.85% 13.39% 6.64%
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 16 14 20 17 18 20 15 13
Avg Max Decline   -1.94% -2.60% -2.90% -3.00% -2.18% -1.70% -2.88% -2.83% -4.38% -2.13% -1.04%
Max Decline   -12.33% -7.29% -9.12% -8.23% -4.49% -5.58% -7.48% -6.44% -20.96% -5.04% -3.62%
Avg Days to Max Decline   4 5 8 10 11 5 8 14 11 7 3
2019 Contract Condition                        
Action                        
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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   24 24 24 24 24 24 24 24 24 24 25
Closed Lower   7 13 8 11 7 12 12 9 9 9 9
Penetrated Low   5 12 5 7 4 8 9 7 6 5 4
Scenario Percentage   71% 92% 63% 64% 57% 67% 75% 78% 67% 56% 44%
Avg Max Decline   8.80% 8.76% 8.07% 11.08% 12.88% 8.82% 12.98% 12.07% 20.62% 14.32% 8.49%
Max Decline   14.21% 29.33% 14.29% 23.28% 28.08% 18.55% 35.33% 25.91% 38.56% 33.74% 13.24%
Avg Days To Max Decline   18 16 16 22 19 14 15 13 17 16 13
Avg Max Increase   -3.07% -3.27% -1.84% -3.68% -3.79% -1.56% -2.98% -5.85% -2.96% -2.07% -5.70%
Max Increase   -9.02% -15.77% -2.98% -6.74% -9.11% -4.07% -9.38% -23.92% -6.78% -3.58% -19.32%
Avg Days to Max Increase   6 7 6 18 5 7 7 14 2 9 5
2019 Contract Condition                        
Action                        
High 7107.00                      
Low 6785.75                      
Close/Last 6795.00                      

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