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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 Feb 21, 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   11 11 11 16 17 18 23 23 23 23 23
Closed Higher   7 8 4 13 11 11 15 17 10 13 11
Exceeded High   6 8 4 10 10 10 14 16 9 8 9
Scenario Percentage   86% 100% 100% 77% 91% 91% 93% 94% 90% 62% 82%
Avg Max Increase   4.81% 5.51% 8.60% 6.01% 6.26% 10.66% 12.36% 9.38% 8.76% 6.10% 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   11 24 28 20 20 19 18 16 17 13 11
Avg Max Decline   -0.74% -3.08% -2.18% -1.97% -2.56% -4.19% -1.53% -1.79% -2.13% -1.66% -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   11 24 15 15 17 10 6 11 7 6 4
2020 Contract Condition   Yes   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   11 11 11 16 17 18 23 23 23 23 23
Closed Lower   4 3 7 3 6 7 8 6 13 10 12
Penetrated Low   2 3 5 3 2 5 6 3 9 8 8
Scenario Percentage   50% 100% 71% 100% 33% 71% 75% 50% 69% 80% 67%
Avg Max Decline   6.65% 5.76% 5.29% 5.24% 9.98% 19.53% 15.69% 18.11% 10.00% 7.15% 5.69%
Max Decline   9.78% 7.55% 12.27% 5.73% 13.60% 36.72% 34.10% 19.70% 20.78% 14.35% 13.03%
Avg Days To Max Decline   14 6 11 9 18 18 19 17 18 12 12
Avg Max Increase   -2.47% 0.48% -2.47% -1.25% -15.09% -0.25% -3.11% -8.02% -6.28% -2.55% -2.14%
Max Increase   -4.63% -3.25% -6.56% -2.69% -24.14% -0.95% -5.52% -18.53% -17.79% -9.05% -6.46%
Avg Days to Max Increase   17 7 9 4 33 5 11 8 9 5 5
2020 Contract Condition     Yes     Yes            
Action     Yes     No            
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 8975.00
Close/Last 7468.25 7878.00 7205.25 7738.75 7914.75 7728.75 7792.25 8110.00 8438.25 8752.25 8997.75 9458.00

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