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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December E-mini DJIA Index(CBOT) as of Jun 08, 2020
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   20 20 20 20 20 20 21 22 22 22 23
Closed Higher   10 13 12 16 10 9 13 13 11 15 18
Exceeded High   9 12 11 14 8 8 11 10 11 15 14
Scenario Percentage   90% 92% 92% 88% 80% 89% 85% 77% 100% 100% 78%
Avg Max Increase   4.77% 4.24% 6.15% 3.24% 4.21% 3.36% 4.46% 4.48% 6.40% 5.43% 2.62%
Max Increase   7.52% 9.23% 13.32% 8.97% 9.13% 4.58% 8.72% 6.97% 19.59% 12.49% 4.80%
Avg Days To Max Increase   17 15 15 15 25 19 17 14 18 11 11
Avg Max Decline   -0.30% -0.76% -0.55% -0.96% -2.41% -2.03% -1.83% -1.87% -1.89% -1.23% -0.92%
Max Decline   -2.63% -4.99% -2.49% -7.49% -4.73% -4.81% -4.89% -7.25% -4.88% -6.46% -2.71%
Avg Days to Max Decline   7 5 7 10 20 17 12 12 4 9 4
2019 Contract Condition   Yes Yes   Yes   Yes Yes   Yes Yes Yes
Action   Yes Yes   Yes   Yes No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   20 20 20 20 20 20 21 22 22 22 23
Closed Lower   10 7 8 4 10 11 8 9 11 7 5
Penetrated Low   7 5 5 1 9 8 7 6 8 5  
Scenario Percentage   70% 71% 63% 25% 90% 73% 88% 67% 73% 71% 0%
Avg Max Decline   8.75% 6.45% 3.58% 2.82% 4.56% 6.62% 10.48% 9.15% 8.80% 8.63%  
Max Decline   17.93% 13.43% 4.73% 2.82% 14.36% 15.51% 25.82% 21.70% 31.53% 20.03%  
Avg Days To Max Decline   10 10 17 17 12 14 13 9 15 17  
Avg Max Increase   -1.27% -0.93% -1.00% -0.98% -1.02% -1.99% -1.97% -3.02% -2.05% -2.62%  
Max Increase   -4.24% -4.23% -2.87% -0.98% -4.47% -4.40% -6.82% -6.42% -5.55% -4.75%  
Avg Days to Max Increase   2 3 8 5 4 11 5 8 8 6  
2019 Contract Condition       Yes   Yes     Yes      
Action       Yes   Yes     No      
High 23328 25085 26203 26164 26696 26690 26882 27379 27144 27312 27230 28173
Low 21748 22719 25048 25385 26094 24803 24622 26598 25014 25964 25703 26959
Close/Last 23322 25085 25960 25951 26615 24824 26568 26856 26382 26901 26982 28073

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