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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 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   20 21 23 24 24 24 25 26 26 26 26
Closed Higher   12 16 17 11 14 15 20 15 11 17 15
Exceeded High   12 15 15 10 12 15 19 11 10 13 10
Scenario Percentage   100% 94% 88% 91% 86% 100% 95% 73% 91% 76% 67%
Avg Max Increase   5.40% 4.15% 4.76% 4.47% 5.19% 5.57% 4.15% 4.64% 4.70% 4.17% 1.73%
Max Increase   9.27% 10.33% 8.07% 7.61% 10.85% 13.52% 13.83% 9.18% 12.04% 10.87% 3.79%
Avg Days To Max Increase   22 18 19 18 17 13 13 23 20 9 8
Avg Max Decline   -1.30% -1.33% -1.03% -0.50% -1.20% -1.17% -1.58% -2.53% -1.68% -0.96% -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   13 9 9 8 6 8 9 17 13 6 4
2023 Contract Condition   Yes Yes   Yes   Yes Yes   Yes Yes  
Action   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   20 21 23 24 24 24 25 26 26 26 26
Closed Lower   8 5 6 13 10 9 5 11 15 9 11
Penetrated Low   5 2 5 10 7 5 2 9 10 7 3
Scenario Percentage   63% 40% 83% 77% 70% 56% 40% 82% 67% 78% 27%
Avg Max Decline   9.71% 7.60% 8.44% 10.70% 9.37% 3.73% 6.64% 4.69% 7.97% 7.86% 3.43%
Max Decline   20.21% 11.81% 19.05% 36.11% 28.83% 4.76% 9.87% 14.45% 19.22% 17.44% 6.86%
Avg Days To Max Decline   19 23 21 12 14 16 14 12 16 8 6
Avg Max Increase   -1.92% -4.69% -1.34% -1.69% -1.65% -1.28% -2.56% -1.45% -1.93% -1.28% -3.18%
Max Increase   -4.42% -6.98% -3.85% -4.65% -6.27% -2.95% -3.43% -4.64% -4.29% -3.50% -5.81%
Avg Days to Max Increase   6 22 13 4 4 10 4 5 10 3 2
2023 Contract Condition       Yes   Yes     Yes     Yes
Action       Yes   Yes     No     Not Yet
High 31750 33545 35209 35270 34915 34988 34014 34530 34628 34888 35843 35810
Low 29094 29563 32651 33211 33464 33095 31862 33618 32900 33026 33803 34062
Close/Last 29094 33412 35209 33691 34581 33095 33703 34468 33258 34643 35695 34791

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