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MRCI's Scenario Study

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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

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