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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 May 10, 2024
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   23 23 23 24 24 25 26 27 27 27 27
Closed Higher   19 13 11 16 14 11 17 21 20 13 16
Exceeded High   16 10 10 13 11 10 17 19 18 11 11
Scenario Percentage   84% 77% 91% 81% 79% 91% 100% 90% 90% 85% 69%
Avg Max Increase   3.74% 4.31% 4.20% 4.47% 4.04% 6.87% 6.02% 4.85% 4.59% 3.95% 2.81%
Max Increase   13.94% 8.90% 11.19% 10.07% 7.06% 19.70% 12.55% 9.91% 8.49% 6.92% 6.18%
Avg Days To Max Increase   11 23 16 16 15 19 21 19 18 16 9
Avg Max Decline   -1.11% -2.12% -1.45% -1.23% -1.81% -1.91% -1.58% -1.51% -1.53% -0.79% -0.76%
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   8 18 13 9 11 4 12 10 10 8 2
2024 Contract Condition   Yes   Yes Yes       Yes Yes Yes Yes
Action   Yes   Yes Yes       Yes Yes Yes Not Yet
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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   23 23 23 24 24 25 26 27 27 27 27
Closed Lower   4 10 12 8 10 14 9 6 7 14 11
Penetrated Low   2 7 8 7 6 11 5 3 6 9 8
Scenario Percentage   50% 70% 67% 88% 60% 79% 56% 50% 86% 64% 73%
Avg Max Decline   6.65% 5.00% 5.55% 9.61% 8.50% 6.86% 10.27% 7.15% 9.39% 8.99% 6.75%
Max Decline   9.39% 13.66% 13.38% 24.83% 20.53% 31.84% 20.24% 15.12% 19.65% 27.69% 19.62%
Avg Days To Max Decline   17 9 14 14 11 15 19 22 22 9 10
Avg Max Increase   -1.66% -0.28% -1.48% -1.40% -2.01% -1.82% -2.57% -4.89% -2.96% -2.08% -2.09%
Max Increase   -3.41% -3.29% -3.96% -6.38% -5.44% -4.31% -4.75% -7.14% -6.40% -4.78% -6.75%
Avg Days to Max Increase   4 5 6 6 10 9 6 17 13 5 4
2024 Contract Condition     Yes     Yes Yes Yes        
Action     No     Yes Yes No        
High 34027 34798 34858 35317 36373 36433 35666 34620 36361 38089 38720 39343
Low 32592 34006 33387 33664 34457 34748 33903 32732 33307 36305 37303 38095
Close/Last 34027 34798 33527 35176 36230 35436 34061 33451 36349 38012 38280 39043

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