MRCI's ScenarioSM Study

ScenarioSM Study for June NASDAQ 100 E-Mini(CME) as of Jan 21, 2022
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		14	14	14	19	19	20	25	25	25	25	25
Closed Higher		13	9	7	11	13	10	15	12	15	17	14
Exceeded High		10	8	6	9	12	10	10	12	13	12	11
Scenario Percentage		77%	89%	86%	82%	92%	100%	67%	100%	87%	71%	79%
Avg Max Increase		6.93%	4.58%	6.60%	13.20%	11.19%	9.11%	7.22%	7.60%	7.50%	8.06%	3.16%
Max Increase		14.16%	11.36%	9.55%	41.49%	34.98%	16.63%	13.47%	15.79%	17.78%	14.31%	6.23%
Avg Days To Max Increase		19	20	22	22	20	17	21	23	23	13	9
Avg Max Decline		-1.55%	-2.45%	-2.08%	-0.89%	-1.08%	-1.93%	-2.37%	-3.17%	-1.65%	-2.14%	-1.35%
Max Decline		-5.19%	-9.39%	-3.81%	-3.76%	-3.54%	-12.11%	-11.60%	-6.92%	-7.29%	-6.75%	-3.01%
Avg Days to Max Decline		16	14	5	5	8	7	8	10	6	6	3
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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		14	14	14	19	19	20	25	25	25	25	25
Closed Lower		1	5	7	8	6	10	10	13	10	8	11
Penetrated Low		1		4	6	3	5	8	11	6	6	7
Scenario Percentage		100%	0%	57%	75%	50%	50%	80%	85%	60%	75%	64%
Avg Max Decline		4.53%		15.84%	14.86%	18.00%	12.30%	7.38%	9.85%	5.66%	11.20%	6.08%
Max Decline		4.53%		35.80%	31.94%	20.00%	20.79%	14.16%	29.75%	14.40%	23.82%	12.82%
Avg Days To Max Decline		16		14	18	17	17	13	14	9	13	11
Avg Max Increase		-2.65%		0.36%	-2.67%	-7.56%	-4.58%	-2.39%	-3.70%	-1.24%	-2.39%	-2.57%
Max Increase		-2.65%		-0.82%	-5.55%	-18.01%	-15.71%	-9.03%	-15.76%	-2.31%	-5.78%	-10.87%
Avg Days to Max Increase		8		3	10	8	7	5	5	3	5	4
2021 Contract Condition				Yes	Yes							Yes
Action				No	No							Not Yet
High	10238.50	10999.25	12085.25	12399.00	12232.00	12375.75	12901.25	13585.00	13888.25	13316.75	14064.00	13947.50
Low	9570.25	10085.25	10855.00	10666.25	10924.75	10927.00	12211.75	12481.00	12654.00	12200.00	13090.25	12915.00
Close/Last	10138.00	10860.75	12085.25	11389.00	11022.00	12256.75	12870.50	12898.00	12900.00	13089.75	13850.00	13686.50