MRCI's ScenarioSM Study

ScenarioSM Study for December E-mini DJIA Index(CBOT) as of Jun 23, 2023
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		23	23	23	23	23	23	24	25	25	25	26
Closed Higher		10	14	14	18	13	10	16	15	11	17	20
Exceeded High		9	13	13	16	10	9	14	12	11	17	15
Scenario Percentage		90%	93%	93%	89%	77%	90%	88%	80%	100%	100%	75%
Avg Max Increase		4.77%	4.74%	5.82%	3.90%	4.43%	4.33%	4.74%	4.09%	6.40%	5.16%	2.45%
Max Increase		7.52%	10.70%	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	14	23	20	16	14	18	11	10
Avg Max Decline		-0.30%	-0.71%	-0.56%	-1.24%	-2.45%	-1.97%	-1.62%	-2.10%	-1.89%	-1.27%	-0.93%
Max Decline		-2.63%	-4.99%	-2.49%	-7.49%	-4.73%	-4.81%	-4.89%	-7.25%	-4.88%	-6.46%	-3.37%
Avg Days to Max Decline		7	5	7	10	18	16	10	12	4	8	3
2022 Contract Condition				Yes		Yes		Yes			Yes	Yes
Action				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		23	23	23	23	23	23	24	25	25	25	26
Closed Lower		13	9	9	5	10	12	8	10	14	8	6
Penetrated Low		10	7	5	2	9	8	7	7	11	5	1
Scenario Percentage		77%	78%	56%	40%	90%	67%	88%	70%	79%	63%	17%
Avg Max Decline		10.47%	9.17%	3.58%	6.44%	4.56%	6.62%	10.48%	9.20%	7.11%	8.29%	1.54%
Max Decline		35.61%	28.27%	4.73%	10.05%	14.36%	15.51%	25.82%	21.70%	31.53%	20.03%	1.54%
Avg Days To Max Decline		10	12	17	17	12	14	13	8	14	16	1
Avg Max Increase		-1.62%	-1.49%	-1.00%	-2.00%	-1.02%	-1.99%	-1.97%	-3.11%	-2.34%	-2.62%	-1.54%
Max Increase		-4.65%	-5.84%	-2.87%	-3.01%	-4.47%	-4.40%	-6.82%	-6.42%	-5.55%	-4.75%	-1.54%
Avg Days to Max Increase		3	3	8	4	4	11	5	8	7	6	1
2022 Contract Condition		Yes	Yes		Yes		Yes		Yes	Yes
Action		Yes	Yes		Yes		No		Yes	Yes
High	36142	36500	35408	35259	35297	34150	33420	32958	34329	32789	33002	34647
Low	34507	33824	32819	32359	33152	31421	29820	30217	31589	28767	28635	31738
Close/Last	35942	34772	33595	34679	33152	33170	30847	32906	31627	28801	32775	34599