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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 May 10, 2021
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   21 21 21 21 21 21 22 23 23 23 24
Closed Higher   10 13 12 17 11 10 14 14 11 15 19
Exceeded High   9 12 11 15 9 9 12 11 11 15 14
Scenario Percentage   90% 92% 92% 88% 82% 90% 86% 79% 100% 100% 74%
Avg Max Increase   4.77% 4.24% 6.15% 3.93% 4.71% 4.33% 5.00% 4.32% 6.40% 5.37% 2.68%
Max Increase   7.52% 9.23% 13.32% 13.65% 9.13% 12.10% 10.91% 6.97% 19.59% 12.49% 4.65%
Avg Days To Max Increase   17 15 15 15 23 20 16 13 18 11 10
Avg Max Decline   -0.30% -0.76% -0.55% -1.31% -2.24% -1.97% -1.72% -1.81% -1.89% -1.23% -0.76%
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 11 18 16 11 11 4 9 3
2020 Contract Condition         Yes Yes Yes Yes Yes     Yes
Action         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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   21 21 21 21 21 21 22 23 23 23 24
Closed Lower   11 8 9 4 10 11 8 9 12 8 5
Penetrated Low   8 6 5 1 9 8 7 6 9 5  
Scenario Percentage   73% 75% 56% 25% 90% 73% 88% 67% 75% 63% 0%
Avg Max Decline   12.11% 10.09% 3.58% 2.82% 4.56% 6.62% 10.48% 9.15% 8.51% 8.29%  
Max Decline   35.61% 28.27% 4.73% 2.82% 14.36% 15.51% 25.82% 21.70% 31.53% 20.03%  
Avg Days To Max Decline   11 12 17 17 12 14 13 9 16 16  
Avg Max Increase   -1.69% -1.74% -1.00% -0.98% -1.02% -1.99% -1.97% -3.02% -2.30% -2.62%  
Max Increase   -4.65% -5.84% -2.87% -0.98% -4.47% -4.40% -6.82% -6.42% -5.55% -4.75%  
Avg Days to Max Increase   3 3 8 5 4 11 5 8 9 6  
2020 Contract Condition   Yes Yes Yes           Yes Yes  
Action   Yes Yes No           Yes Not Yet  
High 28463 29157 29424 26714 24601 25546 27372 26930 28660 29050 28846 30165
Low 28295 28117 24887 18105 20523 22581 24350 25184 26080 26407 25953 26172
Close/Last 28382 28117 25241 21574 24084 25178 25566 26193 28289 27664 26394 29629

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