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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 Aug 18, 2023
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   15 15 15 20 21 22 27 27 27 27 27
Closed Higher   10 9 7 17 13 12 18 21 13 16 11
Exceeded High   9 9 7 13 12 11 17 19 11 11 9
Scenario Percentage   90% 100% 100% 76% 92% 92% 94% 90% 85% 69% 82%
Avg Max Increase   5.55% 6.63% 9.46% 6.57% 5.61% 10.49% 11.31% 9.09% 8.93% 6.47% 3.93%
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 13 10
Avg Max Decline   -1.77% -2.85% -1.32% -1.76% -2.79% -4.16% -1.76% -1.96% -2.10% -1.43% -1.35%
Max Decline   -6.12% -7.62% -5.09% -6.10% -9.48% -20.93% -7.07% -5.14% -13.24% -11.47% -6.48%
Avg Days to Max Decline   9 21 13 14 17 9 5 10 7 5 4
2023 Contract Condition         Yes     Yes Yes   Yes  
Action         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   15 15 15 20 21 22 27 27 27 27 27
Closed Lower   5 6 8 3 8 10 9 6 14 11 16
Penetrated Low   3 5 5 3 3 7 7 3 10 8 11
Scenario Percentage   60% 83% 63% 100% 38% 70% 78% 50% 71% 73% 69%
Avg Max Decline   8.71% 6.14% 5.29% 5.24% 11.66% 28.84% 13.58% 18.11% 9.24% 8.45% 7.01%
Max Decline   12.84% 11.47% 12.27% 5.73% 15.01% 99.36% 34.10% 19.70% 20.78% 14.35% 17.88%
Avg Days To Max Decline   14 7 11 9 16 17 17 17 16 11 10
Avg Max Increase   -3.46% -0.08% -2.47% -1.25% -11.63% -2.72% -2.88% -8.02% -5.80% -2.51% -2.59%
Max Increase   -5.43% -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   13 5 9 4 26 9 10 8 8 3 3
2023 Contract Condition   Yes Yes Yes   Yes Yes     Yes   Yes
Action   Yes Yes No   Yes Yes     Yes   Yes
High 15371.50 15295.75 13675.75 13100.00 13149.50 13929.00 13054.25 11849.25 12236.00 12354.75 12308.50 12949.75
Low 13085.50 12971.50 11883.00 11306.00 11629.25 12439.25 11133.50 10595.25 10746.75 10758.75 10751.00 11923.00
Close/Last 14987.00 12971.50 12770.50 11683.00 13149.50 12466.25 11141.50 11563.75 12160.25 11022.25 12152.00 12072.25

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