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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 31, 2020
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   33 33 33 33 33 33 34 34 34 34 34
Closed Higher   23 15 21 20 19 21 22 17 23 19 22
Exceeded High   22 13 18 18 18 19 21 16 17 18 17
Scenario Percentage   96% 87% 86% 90% 95% 90% 95% 94% 74% 95% 77%
Avg Max Increase   5.87% 8.50% 6.45% 6.50% 9.29% 11.20% 9.84% 9.50% 8.60% 8.10% 5.98%
Max Increase   22.95% 12.91% 10.16% 19.67% 30.90% 42.20% 36.61% 26.06% 15.29% 15.72% 13.04%
Avg Days To Max Increase   17 21 19 19 20 17 17 19 22 21 22
Avg Max Decline   -2.55% -1.69% -2.54% -3.07% -4.05% -2.03% -2.07% -2.46% -2.00% -2.40% -1.76%
Max Decline   -7.61% -5.58% -7.48% -9.37% -20.96% -5.04% -7.02% -10.60% -12.33% -7.29% -7.31%
Avg Days to Max Decline   15 6 12 15 10 7 13 8 5 7 5
2020 Contract Condition     Yes Yes   Yes Yes Yes Yes Yes    
Action     Yes No   Yes Yes 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   33 33 33 33 33 33 34 34 34 34 34
Closed Lower   10 18 12 13 14 12 12 17 11 15 12
Penetrated Low   7 12 9 7 9 8 6 11 8 12 7
Scenario Percentage   70% 67% 75% 54% 64% 67% 50% 65% 73% 80% 58%
Avg Max Decline   10.15% 8.36% 12.98% 12.07% 16.93% 12.00% 12.32% 9.69% 7.21% 8.76% 7.05%
Max Decline   28.08% 18.55% 35.33% 25.91% 38.56% 33.74% 18.96% 19.70% 14.21% 29.33% 14.29%
Avg Days To Max Decline   14 12 15 13 15 16 13 15 13 16 14
Avg Max Increase   -2.77% -2.10% -2.98% -5.85% -2.16% -2.00% -4.64% -4.66% -2.36% -3.27% -1.59%
Max Increase   -9.11% -6.76% -9.38% -23.92% -6.78% -3.58% -19.32% -18.36% -9.02% -15.77% -2.98%
Avg Days to Max Increase   6 9 7 14 3 7 6 6 4 7 5
2020 Contract Condition   Yes     Yes              
Action   Yes     No              
High 7851.75 7851.00 7772.50 8027.00 8000.75 7975.25 8119.50 8445.50 8811.00 9272.25    
Low 7422.25 7125.75 6936.50 7735.50 7356.25 7584.75 7463.50 8111.50 8168.75 8713.75    
Close/Last 7781.25 7127.75 7671.00 7848.75 7691.00 7749.25 8083.75 8403.50 8733.00 8991.50    

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