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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December NASDAQ 100 E-Mini(CME) 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   12 12 12 17 17 18 24 24 24 24 24
Closed Higher   6 8 7 13 9 10 16 13 14 16 18
Exceeded High   6 8 7 12 9 9 12 12 13 15 15
Scenario Percentage   100% 100% 100% 92% 100% 90% 75% 92% 93% 94% 83%
Avg Max Increase   6.48% 5.66% 6.52% 6.60% 6.64% 7.91% 6.10% 6.95% 10.58% 9.96% 4.12%
Max Increase   12.73% 12.94% 15.87% 12.55% 14.65% 12.95% 9.68% 18.14% 29.75% 26.95% 12.30%
Avg Days To Max Increase   22 20 18 16 24 23 17 21 21 11 10
Avg Max Decline   -1.49% -1.74% -0.54% -2.08% -3.41% -1.48% -2.30% -3.00% -3.96% -1.31% -1.31%
Max Decline   -9.27% -5.96% -2.58% -7.12% -7.74% -5.68% -6.40% -9.58% -21.51% -4.05% -3.34%
Avg Days to Max Decline   7 17 6 13 22 9 13 16 7 4 3
2019 Contract Condition   Yes Yes Yes Yes   Yes Yes   Yes Yes Yes
Action   Yes 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   12 12 12 17 17 18 24 24 24 24 24
Closed Lower   6 4 5 4 8 8 8 11 10 8 6
Penetrated Low   5 2 3 3 6 5 6 5 6 5 1
Scenario Percentage   83% 50% 60% 75% 75% 63% 75% 45% 60% 63% 17%
Avg Max Decline   6.58% 6.57% 3.37% 11.36% 6.21% 6.84% 12.60% 13.57% 17.19% 13.78% 7.89%
Max Decline   11.29% 6.82% 4.86% 20.68% 12.64% 15.18% 35.81% 26.13% 36.57% 26.21% 7.89%
Avg Days To Max Decline   8 10 7 17 10 10 15 15 16 18 17
Avg Max Increase   -2.44% 1.48% -0.50% -2.13% -2.05% -2.96% -4.20% -8.03% -1.53% -2.69% -2.73%
Max Increase   -8.21% 0.74% -2.13% -4.63% -8.52% -6.68% -9.24% -24.96% -6.46% -3.89% -2.73%
Avg Days to Max Increase   2 7 2 12 7 10 6 19 3 6 3
2019 Contract Condition           Yes     Yes      
Action           Yes     No      
High 7200.00 6991.75 7206.50 7587.50 7927.50 7928.75 7833.75 8072.00 8037.00 8002.50 8141.00 8458.75
Low 5980.00 6230.25 6950.25 7042.00 7509.75 7182.00 6982.75 7766.00 7242.25 7599.25 7474.25 8084.50
Close/Last 6399.25 6991.75 7172.00 7449.00 7855.75 7182.00 7712.50 7890.25 7707.50 7770.50 8090.25 8417.50

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