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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Nikkei 225 Index as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   29 24 25 30 22 27 20 22 20 22 28
Exceeded High   24 18 24 26 18 23 15 18 19 16 22
Scenario Percentage   83% 75% 96% 87% 82% 85% 75% 82% 95% 73% 79%
Avg Max Increase   7.26% 7.82% 7.09% 5.30% 4.89% 3.98% 6.20% 4.46% 5.44% 8.16% 3.77%
Max Increase   16.49% 20.98% 28.59% 15.21% 19.53% 14.68% 16.70% 11.04% 14.87% 20.86% 10.58%
Avg Days To Max Increase   25 17 19 18 17 17 19 13 18 17 16
Avg Max Decline   -2.43% -0.83% -1.54% -1.11% -1.40% -1.94% -2.13% -2.12% -2.17% -1.46% -0.39%
Max Decline   -7.57% -4.84% -7.68% -5.34% -6.74% -9.12% -5.55% -4.74% -10.17% -7.54% -3.51%
Avg Days to Max Decline   14 10 7 9 8 10 8 11 11 8 3
2018 Contract Condition   Yes     Yes   Yes Yes Yes Yes   Yes
Action   No     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   16 21 20 14 23 18 25 23 25 23 17
Penetrated Low   10 14 13 8 17 13 18 18 19 12 4
Scenario Percentage   63% 67% 65% 57% 74% 72% 72% 78% 76% 52% 24%
Avg Max Decline   11.46% 8.02% 5.81% 12.01% 6.28% 9.90% 9.88% 10.41% 10.48% 9.42% 3.88%
Max Decline   22.48% 22.34% 14.34% 16.92% 15.74% 26.28% 33.40% 46.49% 37.88% 20.46% 6.89%
Avg Days To Max Decline   15 13 13 21 15 20 18 14 17 21 14
Avg Max Increase   -2.19% -0.53% -1.06% -2.59% -2.43% -2.56% -1.39% -1.56% -2.39% -2.15% -0.84%
Max Increase   -5.77% -3.18% -3.47% -9.27% -8.14% -8.29% -5.84% -8.41% -9.98% -7.30% -2.58%
Avg Days to Max Increase   7 7 4 10 13 12 7 5 10 10 2
2018 Contract Condition     Yes Yes   Yes         Yes  
Action     Yes No   Yes         Yes  
High 22994 24129 23493 21971 22496 23050 23012 22949 23032 24286 24448 22583
Low 22119 23065 20950 20347 21056 21932 22038 21463 21851 22173 20972 21243
Close/Last 22765 23098 22068 21454 22468 22202 22305 22554 22865 24120 21920 22351

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