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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 06, 2024
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   22 23 23 23 25 25 26 26 26 26 27
Closed Higher   16 14 11 14 18 19 13 15 17 20 15
Exceeded High   12 11 11 14 16 17 11 14 17 17 9
Scenario Percentage   75% 79% 100% 100% 89% 89% 85% 93% 100% 85% 60%
Avg Max Increase   4.63% 3.80% 6.20% 5.29% 4.74% 4.60% 4.51% 4.72% 5.65% 4.46% 3.30%
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 21 19 20 15 14 11 10
Avg Max Decline   -1.09% -1.38% -1.40% -1.23% -1.40% -1.46% -0.93% -1.38% -1.22% -1.31% -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 11 11 12 5 7 6 2
2024 Contract Condition   Yes       Yes Yes Yes Yes Yes   Yes
Action   No       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   22 23 23 23 25 25 26 26 26 26 27
Closed Lower   6 9 12 9 7 6 13 11 9 6 12
Penetrated Low   5 5 10 5 3 5 9 8 5 2 9
Scenario Percentage   83% 56% 83% 56% 43% 83% 69% 73% 56% 33% 75%
Avg Max Decline   7.14% 5.56% 6.77% 9.97% 6.70% 9.53% 9.88% 9.27% 3.84% 6.56% 3.94%
Max Decline   16.37% 9.05% 31.80% 19.99% 15.02% 19.76% 35.80% 28.47% 4.95% 9.55% 6.54%
Avg Days To Max Decline   17 15 16 19 22 23 9 15 16 14 10
Avg Max Increase   -0.33% -2.78% -1.19% -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 16 9 6 17 13 4 5 8 4 3
2024 Contract Condition     Yes Yes Yes           Yes  
Action     Yes Yes No           Not Yet  
High 35210 36387 36376 35699 34863 36671 38431 39095 39767 40316 40358 40213
Low 34496 34489 34773 34245 33059 33600 36635 37676 38510 38909 37463 37866
Close/Last 35210 36306 35396 34292 33690 36610 38372 38663 39468 40176 37993 38791

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