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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Nikkei 225 Index as of May 10, 2021
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   28 23 24 31 22 28 21 23 22 22 29
Exceeded High   23 18 23 26 18 24 16 19 21 17 23
Scenario Percentage   82% 78% 96% 84% 82% 86% 76% 83% 95% 77% 79%
Avg Max Increase   7.03% 7.78% 7.32% 5.73% 5.18% 4.13% 6.03% 4.36% 6.08% 7.97% 3.89%
Max Increase   16.49% 20.98% 28.59% 15.21% 19.53% 14.68% 16.70% 11.04% 15.74% 20.86% 10.58%
Avg Days To Max Increase   25 18 19 18 18 19 19 13 19 17 17
Avg Max Decline   -2.71% -0.90% -1.48% -1.27% -1.39% -2.03% -2.40% -2.07% -2.12% -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 7 12 8 10 11 7 3
2020 Contract Condition         Yes Yes Yes   Yes Yes   Yes
Action         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   17 22 21 14 23 17 24 22 23 23 16
Penetrated Low   11 15 14 8 17 12 16 16 18 12 3
Scenario Percentage   65% 68% 67% 57% 74% 71% 67% 73% 78% 52% 19%
Avg Max Decline   13.10% 8.99% 5.60% 12.01% 6.22% 9.59% 9.61% 10.23% 10.22% 9.42% 3.99%
Max Decline   29.51% 22.63% 14.34% 16.92% 15.74% 26.28% 33.40% 46.49% 37.88% 20.46% 6.89%
Avg Days To Max Decline   15 14 14 21 14 20 16 14 17 21 13
Avg Max Increase   -2.30% -0.68% -1.38% -2.59% -2.21% -2.74% -1.60% -1.68% -2.66% -2.15% -1.10%
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 6 5 10 11 12 7 6 10 10 2
2020 Contract Condition   Yes Yes Yes       Yes     Yes  
Action   Yes Yes No       No     Not Yet  
High 24091 24116 23995 21720 20366 21955 23186 22966 23431 23623 23726 26834
Low 23045 22893 20916 16358 17647 19449 21530 21710 21920 22879 22948 23097
Close/Last 23657 23205 21143 18917 20194 21878 22288 21710 23140 23185 22977 26434

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