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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March NASDAQ 100 E-Mini(CME) 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   12 12 12 17 18 19 24 24 24 24 24
Closed Higher   8 8 5 14 11 12 16 18 11 14 11
Exceeded High   7 8 5 10 10 11 15 17 10 9 9
Scenario Percentage   88% 100% 100% 71% 91% 92% 94% 94% 91% 64% 82%
Avg Max Increase   4.24% 5.51% 7.78% 6.01% 6.26% 10.49% 12.14% 9.42% 9.04% 6.37% 4.50%
Max Increase   7.65% 12.75% 12.62% 9.49% 17.19% 29.81% 41.20% 35.77% 16.77% 12.73% 12.27%
Avg Days To Max Increase   10 24 27 20 20 20 18 17 17 14 11
Avg Max Decline   -0.80% -3.08% -1.60% -1.97% -2.56% -4.16% -1.43% -1.86% -2.00% -1.50% -1.35%
Max Decline   -3.54% -7.62% -5.09% -6.10% -9.48% -20.93% -4.40% -4.51% -13.24% -11.47% -6.48%
Avg Days to Max Decline   9 24 14 15 17 9 5 10 7 5 4
2020 Contract Condition   Yes   Yes Yes   Yes Yes Yes Yes Yes  
Action   Yes   Yes No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   12 12 12 17 18 19 24 24 24 24 24
Closed Lower   4 4 7 3 7 7 8 6 13 10 13
Penetrated Low   2 4 5 3 2 5 6 3 9 8 9
Scenario Percentage   50% 100% 71% 100% 29% 71% 75% 50% 69% 80% 69%
Avg Max Decline   6.65% 4.80% 5.29% 5.24% 9.98% 19.53% 15.69% 18.11% 10.00% 7.15% 7.19%
Max Decline   9.78% 7.55% 12.27% 5.73% 13.60% 36.72% 34.10% 19.70% 20.78% 14.35% 19.21%
Avg Days To Max Decline   14 5 11 9 18 18 19 17 18 12 13
Avg Max Increase   -2.47% 0.55% -2.47% -1.25% -15.09% -0.25% -3.11% -8.02% -6.28% -2.55% -2.62%
Max Increase   -4.63% -3.25% -6.56% -2.69% -24.14% -0.95% -5.52% -18.53% -17.79% -9.05% -6.49%
Avg Days to Max Increase   17 6 9 4 33 5 11 8 9 5 5
2020 Contract Condition     Yes     Yes           Yes
Action     Yes     No           Yes
High 7602.00 7929.50 7945.00 7838.75 8087.25 8053.25 8015.00 8161.25 8479.25 8843.50 9287.25 9763.00
Low 7120.00 7570.75 7199.75 7066.00 7795.75 7276.25 7625.75 7493.25 8107.25 8188.25 8678.00 8126.25
Close/Last 7468.25 7878.00 7205.25 7738.75 7914.75 7728.75 7792.25 8110.00 8438.25 8752.25 8997.75 8454.00

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