MRCI's ScenarioSM Study

ScenarioSM Study for September E-mini DJIA Index(CBOT) as of Jan 21, 2022
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		18	19	21	22	22	22	23	24	24	24	24
Closed Higher		10	15	16	10	14	13	19	14	10	15	15
Exceeded High		10	14	14	9	12	13	18	11	9	12	10
Scenario Percentage		100%	93%	88%	90%	86%	100%	95%	79%	90%	80%	67%
Avg Max Increase		5.70%	4.43%	5.00%	4.84%	5.19%	6.04%	4.32%	4.64%	4.83%	4.32%	1.92%
Max Increase		9.27%	10.33%	8.07%	7.61%	10.85%	13.52%	13.83%	9.18%	12.04%	10.87%	4.37%
Avg Days To Max Increase		23	19	20	18	17	13	12	23	20	10	9
Avg Max Decline		-0.85%	-1.20%	-1.16%	-0.42%	-1.20%	-1.20%	-1.41%	-2.53%	-1.60%	-0.91%	-0.94%
Max Decline		-6.06%	-4.88%	-6.63%	-2.60%	-5.62%	-3.65%	-7.44%	-4.88%	-4.31%	-2.66%	-2.52%
Avg Days to Max Decline		12	9	10	7	6	6	9	17	13	6	4
2021 Contract Condition			Yes	Yes		Yes	Yes	Yes	Yes		Yes	Yes
Action			Yes	Yes		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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		18	19	21	22	22	22	23	24	24	24	24
Closed Lower		8	4	5	12	8	9	4	10	14	9	9
Penetrated Low		5	1	4	9	6	5	1	9	10	7	2
Scenario Percentage		63%	25%	80%	75%	75%	56%	25%	90%	71%	78%	22%
Avg Max Decline		9.71%	11.81%	10.11%	11.00%	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	10	13	16	12	12	16	8	6
Avg Max Increase		-1.92%	-2.41%	-0.71%	-1.67%	-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	3	4	10	4	5	10	3	2
2021 Contract Condition		Yes			Yes					Yes
Action		No			Yes					No
High	27575	28548	29712	30334	30928	31751	33009	34029	34883	34721	35072	35547
Low	26464	25836	26055	29196	29600	29352	30370	32737	33104	32902	33623	34494
Close/Last	27441	26186	29327	30334	29717	30698	32785	33658	34402	34399	34832	35340