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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Nikkei 225 Index as of Mar 27, 2020
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 21 28 21 22 21 23 28
Exceeded High   24 19 24 25 17 24 16 18 20 17 22
Scenario Percentage   83% 79% 96% 83% 81% 86% 76% 82% 95% 74% 79%
Avg Max Increase   7.29% 7.64% 7.09% 5.37% 5.13% 3.92% 6.03% 4.46% 5.60% 7.97% 3.87%
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 18 18 19 13 19 17 16
Avg Max Decline   -2.56% -0.90% -1.54% -1.17% -1.47% -1.92% -2.40% -2.12% -2.17% -1.43% -0.49%
Max Decline   -7.57% -4.84% -7.68% -5.34% -6.74% -9.12% -6.56% -4.74% -10.17% -7.54% -3.51%
Avg Days to Max Decline   14 10 7 9 8 10 8 11 10 7 3
2019 Contract Condition   Yes Yes   Yes   Yes Yes   Yes Yes Yes
Action   Yes Yes   No   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 24 17 24 23 24 22 17
Penetrated Low   10 14 14 8 18 12 17 17 18 12 4
Scenario Percentage   63% 67% 70% 57% 75% 71% 71% 74% 75% 55% 24%
Avg Max Decline   11.46% 8.02% 5.60% 12.01% 6.02% 9.59% 9.75% 9.99% 10.22% 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 14 21 15 20 17 15 17 21 14
Avg Max Increase   -2.19% -0.53% -1.38% -2.59% -2.26% -2.74% -1.47% -1.56% -2.66% -2.15% -0.84%
Max Increase   -5.77% -3.18% -5.46% -9.27% -8.14% -8.29% -5.84% -8.41% -9.98% -7.30% -2.58%
Avg Days to Max Increase   7 7 5 10 13 12 7 5 10 10 2
2019 Contract Condition       Yes   Yes     Yes      
Action       Yes   Yes     No      
High 22699 20893 21611 21860 22363 22190 21498 21823 21557 22256 23008 23608
Low 18949 19241 20315 20912 21471 20582 20290 20993 20111 20554 21276 22706
Close/Last 20015 20773 21385 21206 22259 20601 21276 21522 20704 21756 22927 23294

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