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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June E-mini DJIA Index(CBOT) as of Sep 16, 2022
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   20 21 21 21 23 23 24 24 24 24 25
Closed Higher   14 14 11 13 16 18 11 14 15 19 14
Exceeded High   11 11 11 13 14 16 9 13 15 16 9
Scenario Percentage   79% 79% 100% 100% 88% 89% 82% 93% 100% 84% 64%
Avg Max Increase   4.69% 3.80% 6.20% 5.21% 4.86% 4.66% 4.91% 4.90% 6.20% 4.55% 3.14%
Max Increase   10.26% 7.01% 19.74% 9.57% 10.13% 8.53% 7.60% 10.86% 13.47% 14.01% 8.85%
Avg Days To Max Increase   16 14 18 24 21 19 20 16 16 10 9
Avg Max Decline   -1.06% -1.38% -1.40% -1.11% -1.39% -1.44% -0.90% -1.38% -1.28% -1.10% -0.34%
Max Decline   -4.46% -5.91% -4.18% -6.03% -4.88% -7.19% -2.75% -5.75% -3.76% -6.30% -1.14%
Avg Days to Max Decline   9 11 4 11 12 10 12 5 6 5 2
2022 Contract Condition   Yes Yes   Yes   Yes     Yes   Yes
Action   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   20 21 21 21 23 23 24 24 24 24 25
Closed Lower   6 7 10 8 7 5 13 10 9 5 11
Penetrated Low   5 3 9 5 3 4 9 7 5 2 9
Scenario Percentage   83% 43% 90% 63% 43% 80% 69% 70% 56% 40% 82%
Avg Max Decline   7.14% 4.05% 7.12% 9.97% 6.70% 11.42% 9.88% 10.02% 3.84% 5.95% 3.83%
Max Decline   16.37% 8.87% 31.80% 19.99% 15.02% 19.76% 35.80% 28.47% 4.95% 8.35% 6.54%
Avg Days To Max Decline   17 6 15 19 22 22 9 15 16 13 9
Avg Max Increase   -0.33% -3.31% -1.14% -1.97% -4.74% -1.64% -2.05% -2.21% -1.34% -2.59% -0.90%
Max Increase   -2.85% -9.13% -4.04% -4.61% -7.24% -3.53% -4.74% -6.65% -2.93% -3.48% -2.54%
Avg Days to Max Increase   3 16 9 6 17 5 4 5 8 4 3
2022 Contract Condition       Yes   Yes   Yes Yes   Yes  
Action       Yes   Yes   Yes No   Yes  
High 34070 34722 35223 35078 35517 36135 36465 36729 35649 35281 35413 34027
Low 32839 33394 34269 33539 33500 34248 33789 32958 32085 32215 32820 30585
Close/Last 34070 34526 34986 33539 35517 34248 36131 34905 33741 34618 32882 32971

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