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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for NASDAQ 100 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   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
2020 Contract Condition   Yes     Yes Yes Yes Yes        
Action   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   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
2020 Contract Condition     Yes Yes                
Action     Yes No                
High 8811.00 9272.25 9736.50 8998.25 9025.75 9570.50 10306.75 10842.75        
Low 8168.75 8713.75 8135.50 6771.75 7423.75 8665.25 9489.50 10142.75        
Close/Last 8733.00 8991.50 8461.75 7813.50 9000.50 9555.50 10156.75 10836.25        

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