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