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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 Mar 30, 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   19 19 19 20 20 21 22 23 23 23 23
Closed Higher   16 10 8 12 12 11 15 18 17 11 14
Exceeded High   13 8 7 9 9 10 15 16 15 9 11
Scenario Percentage   81% 80% 88% 75% 75% 91% 100% 89% 88% 82% 79%
Avg Max Increase   3.20% 4.10% 3.41% 4.61% 4.48% 6.87% 6.19% 4.93% 4.83% 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   12 25 17 19 16 19 21 19 18 16 11
Avg Max Decline   -0.65% -2.19% -1.31% -1.57% -1.50% -1.91% -1.25% -1.53% -1.48% -0.72% -0.70%
Max Decline   -7.15% -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   6 20 14 12 10 4 11 10 8 7 2
2020 Contract Condition   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   19 19 19 20 20 21 22 23 23 23 23
Closed Lower   3 9 11 8 8 10 7 5 6 12 9
Penetrated Low   1 7 8 7 4 7 5 2 5 7 7
Scenario Percentage   33% 78% 73% 88% 50% 70% 71% 40% 83% 58% 78%
Avg Max Decline   3.90% 5.00% 5.55% 9.61% 8.55% 9.12% 10.27% 8.77% 10.87% 11.00% 8.42%
Max Decline   3.90% 13.66% 13.38% 24.83% 20.53% 31.84% 20.24% 15.12% 19.65% 32.96% 25.47%
Avg Days To Max Decline   17 9 14 14 9 15 19 21 21 8 13
Avg Max Increase   0.09% -0.28% -1.48% -1.40% -2.06% -1.30% -2.57% -3.77% -2.79% -2.19% -2.03%
Max Increase   0.09% -3.29% -3.96% -6.38% -5.44% -3.30% -4.75% -4.71% -6.40% -4.78% -6.75%
Avg Days to Max Increase   5 5 6 6 8 9 6 8 7 5 5
2020 Contract Condition     Yes     Yes         Yes Yes
Action     Yes     No         Yes Yes
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 24675
Close/Last 25965 26646 24859 26595 26868 26329 26888 26970 28067 28508 28196 25364

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