MRCI's ScenarioSM Study

ScenarioSM Study for March E-mini DJIA Index(CBOT) as of Jun 08, 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