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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 30, 2022
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   14 14 14 19 20 21 26 26 26 26 26
Closed Higher   10 9 7 16 13 12 17 20 13 15 11
Exceeded High   9 9 7 12 12 11 16 18 11 10 9
Scenario Percentage   90% 100% 100% 75% 92% 92% 94% 90% 85% 67% 82%
Avg Max Increase   5.55% 6.63% 9.46% 6.62% 5.61% 10.49% 11.59% 9.50% 8.93% 6.50% 3.97%
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   14 22 28 17 19 20 17 17 17 14 10
Avg Max Decline   -1.77% -2.85% -1.32% -1.80% -2.79% -4.16% -1.43% -1.78% -2.10% -1.49% -1.35%
Max Decline   -6.12% -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 13 15 17 9 5 10 7 5 4
2022 Contract Condition   Yes   Yes Yes Yes   Yes Yes Yes    
Action   Yes   Yes Yes Yes   Yes No No    
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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   14 14 14 19 20 21 26 26 26 26 26
Closed Lower   4 5 7 3 7 9 9 6 13 11 15
Penetrated Low   2 4 5 3 2 6 7 3 9 9 11
Scenario Percentage   50% 80% 71% 100% 29% 67% 78% 50% 69% 82% 73%
Avg Max Decline   6.65% 4.80% 5.29% 5.24% 9.98% 32.83% 13.58% 18.11% 10.00% 7.81% 6.97%
Max Decline   9.78% 7.55% 12.27% 5.73% 13.60% 99.36% 34.10% 19.70% 20.78% 14.35% 18.06%
Avg Days To Max Decline   14 5 11 9 18 18 17 17 18 11 11
Avg Max Increase   -2.47% 0.55% -2.47% -1.25% -15.09% -2.13% -2.88% -8.02% -6.28% -2.53% -2.53%
Max Increase   -4.63% -3.25% -6.56% -2.69% -24.14% -11.53% -5.52% -18.53% -17.79% -9.05% -6.49%
Avg Days to Max Increase   17 6 9 4 33 10 10 8 9 4 3
2022 Contract Condition     Yes       Yes       Yes Yes
Action     No       Yes       Yes Yes
High 13247.75 13996.75 13756.50 14573.50 15105.00 15657.25 15686.25 15865.00 16379.00 16378.50 16269.00 15260.00
Low 12263.50 13287.50 12968.00 13496.00 14439.50 14703.25 14680.00 14366.75 93.75 3.50 13706.00 13025.75
Close/Last 13057.25 13813.50 13649.75 14534.75 14940.00 15566.00 14685.25 15842.75 16155.50 16320.75 14905.00 14228.00

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