MRCI's ScenarioSM Study

ScenarioSM Study for September E-mini DJIA Index(CBOT) as of Nov 09, 2020
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		17	18	20	21	21	21	22	23	23	23	23
Closed Higher		10	14	15	10	13	12	18	13	10	14	14
Exceeded High		10	13	13	9	11	12	17	10	9	11	10
Scenario Percentage		100%	93%	87%	90%	85%	100%	94%	77%	90%	79%	71%
Avg Max Increase		5.70%	4.35%	5.03%	4.84%	4.68%	6.01%	4.36%	4.91%	4.83%	4.64%	2.03%
Max Increase		9.27%	10.33%	8.07%	7.61%	9.47%	13.52%	13.83%	9.18%	12.04%	10.87%	4.37%
Avg Days To Max Increase		23	19	20	18	17	14	13	23	20	10	10
Avg Max Decline		-0.85%	-1.25%	-1.00%	-0.42%	-1.21%	-1.28%	-1.48%	-2.35%	-1.60%	-1.37%	-0.99%
Max Decline		-6.06%	-4.88%	-6.63%	-2.60%	-5.62%	-3.65%	-7.44%	-4.88%	-4.31%	-4.49%	-2.52%
Avg Days to Max Decline		12	8	8	7	6	7	9	17	13	9	5
2020 Contract Condition		Yes	Yes	Yes				Yes	Yes	Yes	Yes	Yes
Action		Yes	Yes	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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		17	18	20	21	21	21	22	23	23	23	23
Closed Lower		7	4	5	11	8	9	4	10	13	9	9
Penetrated Low		5	1	4	8	6	5	1	9	10	7	2
Scenario Percentage		71%	25%	80%	73%	75%	56%	25%	90%	77%	78%	22%
Avg Max Decline		9.71%	11.81%	10.11%	12.22%	10.31%	3.73%	3.40%	4.69%	7.97%	7.86%	4.27%
Max Decline		20.21%	11.81%	19.05%	36.11%	28.83%	4.76%	3.40%	14.45%	19.22%	17.44%	6.86%
Avg Days To Max Decline		19	22	20	12	13	16	12	12	16	8	6
Avg Max Increase		-1.92%	-2.41%	-0.71%	-1.77%	-1.46%	-1.28%	-1.70%	-1.45%	-1.93%	-1.28%	-3.98%
Max Increase		-4.42%	-2.41%	-3.04%	-4.65%	-6.27%	-2.95%	-1.70%	-4.64%	-4.29%	-3.50%	-5.81%
Avg Days to Max Increase		6	10	5	4	4	10	4	5	10	3	2
2020 Contract Condition					Yes	Yes	Yes
Action					Yes	Yes	No
High	26877	27045	28037	28564	29223	29467	26865	24702	25669	27491	27063	28783
Low	26668	25873	27184	27349	28094	24636	17992	20466	22629	24409	25293	26197
Close/Last	26790	26903	27964	28400	28159	25279	21689	24150	25255	25689	26319	28416