MRCI's ScenarioSM Study

ScenarioSM Study for September NASDAQ 100 E-Mini(CME) as of Nov 09, 2020
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		13	13	13	19	18	20	24	24	24	25	25
Closed Higher		8	8	7	11	10	11	16	14	12	17	14
Exceeded High		6	7	7	10	10	10	14	14	10	13	12
Scenario Percentage		75%	88%	100%	91%	100%	91%	88%	100%	83%	76%	86%
Avg Max Increase		5.28%	6.18%	7.16%	6.70%	6.80%	6.84%	8.24%	7.26%	9.79%	6.01%	3.49%
Max Increase		8.73%	10.41%	11.35%	13.48%	13.60%	16.31%	14.73%	15.89%	19.88%	14.46%	7.78%
Avg Days To Max Increase		21	19	19	18	21	23	16	23	23	10	8
Avg Max Decline		-0.94%	-1.31%	-0.42%	-0.65%	-2.28%	-1.81%	-2.50%	-3.33%	-1.96%	-2.06%	-0.97%
Max Decline		-3.02%	-3.16%	-4.33%	-11.31%	-6.39%	-6.15%	-8.94%	-7.72%	-5.67%	-6.35%	-2.49%
Avg Days to Max Decline		7	8	8	5	11	8	9	21	8	10	3
2020 Contract Condition		Yes	Yes	Yes	Yes			Yes	Yes	Yes	Yes	Yes
Action		Yes	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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		13	13	13	19	18	20	24	24	24	25	25
Closed Lower		5	5	6	8	8	9	8	10	12	8	11
Penetrated Low		4	2	3	5	6	5	6	8	9	6	2
Scenario Percentage		80%	40%	50%	63%	75%	56%	75%	80%	75%	75%	18%
Avg Max Decline		11.87%	16.12%	12.13%	6.50%	12.32%	5.21%	12.65%	9.52%	7.91%	10.08%	5.77%
Max Decline		22.33%	16.41%	17.63%	11.37%	28.82%	13.21%	24.35%	28.18%	18.69%	22.21%	10.56%
Avg Days To Max Decline		17	25	11	7	8	5	18	13	11	9	6
Avg Max Increase		-2.22%	-2.12%	0.17%	-2.61%	-2.15%	0.03%	-2.73%	-2.80%	-2.79%	-2.05%	-6.24%
Max Increase		-3.47%	-2.16%	-0.76%	-8.52%	-6.45%	-2.31%	-5.32%	-10.94%	-6.74%	-5.11%	-9.04%
Avg Days to Max Increase		5	6	3	3	4	1	11	6	9	3	2
2020 Contract Condition						Yes	Yes
Action						Yes	No
High	7998.50	8174.25	8495.00	8867.25	9313.50	9791.50	8999.50	9128.00	9587.50	10296.25	11058.50	12165.00
Low	7692.25	7560.00	8227.25	8255.00	8724.00	8155.50	6626.00	7378.00	8545.00	9368.25	10076.00	10845.50
Close/Last	7828.75	8155.00	8481.25	8793.50	9039.50	8454.50	7787.00	8974.25	9542.25	10147.25	10890.50	12114.00