MRCI's ScenarioSM Study

ScenarioSM Study for NASDAQ 100 Index as of Jun 08, 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		34	34	34	34	34	34	34	34	34	34	35
Closed Higher		23	19	22	20	23	16	22	20	20	22	23
Exceeded High		17	18	19	17	22	14	18	18	19	20	21
Scenario Percentage		74%	95%	86%	85%	96%	88%	82%	90%	95%	91%	91%
Avg Max Increase		8.60%	8.12%	8.37%	8.51%	5.87%	8.23%	6.45%	6.50%	9.27%	10.95%	5.55%
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	21	21	15	17	21	19	19	20	17	15
Avg Max Decline		-2.00%	-2.40%	-2.31%	-2.42%	-2.55%	-1.51%	-2.54%	-3.07%	-4.03%	-1.91%	-1.24%
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	5	12	15	10	7	4
2019 Contract Condition		Yes	Yes	Yes	Yes		Yes	Yes		Yes	Yes	Yes
Action		Yes	Yes	Yes	No		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		34	34	34	34	34	34	34	34	34	34	35
Closed Lower		11	15	12	14	11	18	12	14	14	12	12
Penetrated Low		8	12	7	9	8	12	9	7	9	8	5
Scenario Percentage		73%	80%	58%	64%	73%	67%	75%	50%	64%	67%	42%
Avg Max Decline		7.21%	8.76%	7.05%	10.17%	9.22%	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	12	12	15	13	15	16	15
Avg Max Increase		-2.36%	-3.27%	-1.59%	-3.50%	-2.42%	-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	5	9	7	14	3	7	5
2019 Contract Condition						Yes			Yes
Action						Yes			No
High	7107.00	6936.25	7161.50	7505.25	7851.75	7851.00	7772.50	8027.00	8000.75	7975.25	8119.50	8445.50
Low	5895.00	6139.25	6836.50	6940.50	7422.25	7125.75	6936.50	7735.50	7356.25	7584.75	7463.50	8111.50
Close/Last	6329.75	6906.75	7097.50	7378.75	7781.25	7127.75	7671.00	7848.75	7691.00	7749.25	8083.75	8403.50