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