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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March E-mini DJIA Index(CBOT) as of Feb 21, 2020
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   18 18 18 19 19 20 21 22 22 22 22
Closed Higher   15 10 7 11 12 10 14 17 16 11 14
Exceeded High   12 8 6 9 9 9 14 15 14 9 11
Scenario Percentage   80% 80% 86% 82% 75% 90% 100% 88% 88% 82% 79%
Avg Max Increase   3.42% 4.10% 3.50% 4.61% 4.48% 7.11% 6.17% 4.96% 4.92% 4.77% 3.00%
Max Increase   8.12% 8.90% 4.57% 8.50% 7.06% 19.70% 12.55% 9.91% 8.49% 7.15% 5.76%
Avg Days To Max Increase   11 25 17 19 16 19 20 19 19 16 11
Avg Max Decline   -0.11% -2.19% -1.57% -1.57% -1.50% -1.63% -1.34% -1.45% -1.48% -0.72% -0.70%
Max Decline   -1.33% -4.56% -3.55% -4.88% -7.04% -4.85% -6.33% -4.91% -7.11% -2.72% -2.12%
Avg Days to Max Decline   4 20 16 12 10 5 12 11 8 7 2
2020 Contract Condition   Yes   Yes Yes   Yes Yes Yes Yes   Yes
Action   Yes   Yes No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   18 18 18 19 19 20 21 22 22 22 22
Closed Lower   3 8 11 8 7 10 7 5 6 11 8
Penetrated Low   1 6 8 7 4 7 5 2 5 6 6
Scenario Percentage   33% 75% 73% 88% 57% 70% 71% 40% 83% 55% 75%
Avg Max Decline   3.90% 5.75% 5.55% 9.61% 8.55% 9.12% 10.27% 8.77% 10.87% 7.34% 5.58%
Max Decline   3.90% 13.66% 13.38% 24.83% 20.53% 31.84% 20.24% 15.12% 19.65% 18.79% 8.39%
Avg Days To Max Decline   17 10 14 14 9 15 19 21 21 7 12
Avg Max Increase   0.09% -0.29% -1.48% -1.40% -2.06% -1.30% -2.57% -3.77% -2.79% -1.76% -1.24%
Max Increase   0.09% -3.29% -3.96% -6.38% -5.44% -3.30% -4.75% -4.71% -6.40% -4.09% -4.26%
Avg Days to Max Increase   5 6 6 6 8 9 6 8 7 3 5
2020 Contract Condition     Yes     Yes         Yes  
Action     Yes     No         Not Yet  
High 26031 26701 26561 26818 27348 27076 27276 27205 28158 28721 29362 29543
Low 25541 26090 24859 24740 26654 25053 25937 25694 26957 27297 28084 28136
Close/Last 25965 26646 24859 26595 26868 26329 26888 26970 28067 28508 28196 28981

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