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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 Dec 27, 2023
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   21 22 22 22 24 24 25 25 25 25 26
Closed Higher   15 14 11 14 17 18 12 14 16 20 14
Exceeded High   12 11 11 14 15 16 10 13 16 17 9
Scenario Percentage   80% 79% 100% 100% 88% 89% 83% 93% 100% 85% 64%
Avg Max Increase   4.63% 3.80% 6.20% 5.29% 4.60% 4.66% 4.54% 4.90% 5.98% 4.31% 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 23 20 19 20 16 15 10 9
Avg Max Decline   -1.09% -1.38% -1.40% -1.23% -1.50% -1.44% -0.98% -1.38% -1.22% -1.06% -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 10 12 10 12 5 7 5 2
2023 Contract Condition   Yes     Yes Yes   Yes   Yes Yes  
Action   Yes     Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   21 22 22 22 24 24 25 25 25 25 26
Closed Lower   6 8 11 8 7 6 13 11 9 5 12
Penetrated Low   5 4 9 5 3 5 9 8 5 2 9
Scenario Percentage   83% 50% 82% 63% 43% 83% 69% 73% 56% 40% 75%
Avg Max Decline   7.14% 5.30% 7.12% 9.97% 6.70% 9.53% 9.88% 9.27% 3.84% 5.95% 3.66%
Max Decline   16.37% 9.05% 31.80% 19.99% 15.02% 19.76% 35.80% 28.47% 4.95% 8.35% 6.54%
Avg Days To Max Decline   17 12 15 19 22 23 9 15 16 13 9
Avg Max Increase   -0.33% -3.27% -1.14% -1.97% -4.74% -2.09% -2.05% -2.27% -1.34% -2.59% -0.90%
Max Increase   -2.85% -9.13% -4.04% -4.61% -7.24% -3.85% -4.74% -6.65% -2.93% -3.48% -2.54%
Avg Days to Max Increase   3 15 9 6 17 13 4 5 8 4 3
2023 Contract Condition     Yes Yes     Yes   Yes     Yes
Action     Yes No     Yes   Yes     Not Yet
High 31798 33158 34448 32885 33353 35058 35354 34738 34830 33855 34287 34363
Low 30188 30921 31883 28998 29124 32267 32958 33200 32879 31640 33347 32619
Close/Last 31050 33158 31883 28998 33221 35014 33539 34414 32948 33460 34200 32979

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