MRCI's ScenarioSM Study

ScenarioSM Study for June NASDAQ 100 E-Mini(CME) as of Sep 16, 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		15	15	15	20	20	21	26	26	26	26	26
Closed Higher		14	10	7	12	14	11	15	12	16	17	14
Exceeded High		11	9	6	10	12	10	10	12	13	12	11
Scenario Percentage		79%	90%	86%	83%	86%	91%	67%	100%	81%	71%	79%
Avg Max Increase		6.74%	4.28%	6.60%	12.22%	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		17	21	22	22	20	17	21	23	23	13	9
Avg Max Decline		-1.55%	-3.02%	-2.08%	-0.94%	-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	16	5	5	8	7	8	10	6	6	3
2022 Contract Condition		Yes	Yes		Yes	Yes	Yes			Yes
Action		Yes	Yes		Yes	No	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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		15	15	15	20	20	21	26	26	26	26	26
Closed Lower		1	5	8	8	6	10	11	14	10	9	12
Penetrated Low		1		5	6	3	5	9	12	6	7	8
Scenario Percentage		100%	0%	63%	75%	50%	50%	82%	86%	60%	78%	67%
Avg Max Decline		4.53%		32.56%	14.86%	18.00%	12.30%	8.03%	9.87%	5.66%	11.43%	6.62%
Max Decline		4.53%		99.43%	31.94%	20.00%	20.79%	14.16%	29.75%	14.40%	23.82%	12.82%
Avg Days To Max Decline		16		15	18	17	17	13	15	9	13	11
Avg Max Increase		-2.65%		-2.02%	-2.67%	-7.56%	-4.58%	-2.39%	-4.00%	-1.24%	-2.83%	-2.54%
Max Increase		-2.65%		-11.58%	-5.55%	-18.01%	-15.71%	-9.03%	-15.76%	-2.31%	-5.78%	-10.87%
Avg Days to Max Increase		8		12	10	8	7	4	7	3	5	3
2022 Contract Condition				Yes				Yes	Yes		Yes	Yes
Action				Yes				Yes	Yes		Yes	Yes
High	14540.00	15095.50	15631.00	15655.25	15840.25	16373.00	16356.50	16257.50	15261.25	15268.75	15198.00	13555.25
Low	13484.75	14510.75	14701.00	14674.25	14371.25	83.75	3.00	13708.25	13031.00	12942.50	12801.50	11491.25
Close/Last	14526.50	14931.25	15552.75	14674.25	15828.25	16141.50	16317.50	14906.00	14228.00	14868.75	12852.00	12646.50