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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 May 10, 2021
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   13 13 13 18 19 20 25 25 25 25 25
Closed Higher   9 9 6 15 12 12 16 19 12 15 11
Exceeded High   8 9 6 11 11 11 15 18 11 10 9
Scenario Percentage   89% 100% 100% 73% 92% 92% 94% 95% 92% 67% 82%
Avg Max Increase   5.56% 6.63% 9.75% 6.77% 5.94% 10.49% 12.14% 9.50% 8.93% 6.50% 4.40%
Max Increase   14.74% 15.53% 19.63% 14.38% 17.19% 29.81% 41.20% 35.77% 16.77% 12.73% 12.27%
Avg Days To Max Increase   12 22 28 18 18 20 18 17 17 14 11
Avg Max Decline   -1.23% -2.85% -1.43% -1.82% -2.34% -4.16% -1.43% -1.78% -2.10% -1.49% -1.35%
Max Decline   -4.25% -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 21 12 14 15 9 5 10 7 5 4
2021 Contract Condition   Yes Yes Yes Yes Yes     Yes Yes Yes  
Action   Yes Yes Yes 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   13 13 13 18 19 20 25 25 25 25 25
Closed Lower   4 4 7 3 7 8 9 6 13 10 14
Penetrated Low   2 4 5 3 2 5 7 3 9 8 10
Scenario Percentage   50% 100% 71% 100% 29% 63% 78% 50% 69% 80% 71%
Avg Max Decline   6.65% 4.80% 5.29% 5.24% 9.98% 19.53% 13.58% 18.11% 10.00% 7.15% 6.91%
Max Decline   9.78% 7.55% 12.27% 5.73% 13.60% 36.72% 34.10% 19.70% 20.78% 14.35% 18.06%
Avg Days To Max Decline   14 5 11 9 18 18 17 17 18 12 12
Avg Max Increase   -2.47% 0.55% -2.47% -1.25% -15.09% -0.25% -2.88% -8.02% -6.28% -2.55% -2.68%
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 10 8 9 5 4
2021 Contract Condition             Yes Yes       Yes
Action             No Yes       Yes
High 8911.25 8994.50 9545.75 10263.50 11028.50 12130.50 12434.75 12238.75 12398.00 12918.25 13599.75 13900.50
Low 6936.00 7405.00 8565.00 9452.25 10080.00 10837.75 10649.50 10936.25 10934.00 12216.75 12491.25 12662.25
Close/Last 7740.25 8944.75 9545.75 10140.25 10871.50 12096.75 11398.50 11036.00 12271.75 12885.50 12911.25 12911.00

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