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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 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   13 13 13 18 18 19 25 25 25 25 25
Closed Higher   7 8 7 14 10 11 17 14 14 16 19
Exceeded High   7 8 7 13 10 10 13 13 13 15 16
Scenario Percentage   100% 100% 100% 93% 100% 91% 76% 93% 93% 94% 84%
Avg Max Increase   6.71% 5.66% 6.52% 7.23% 7.54% 9.11% 6.75% 6.63% 10.58% 9.94% 4.04%
Max Increase   12.73% 12.94% 15.87% 14.75% 15.63% 19.87% 14.48% 18.14% 29.75% 26.95% 12.30%
Avg Days To Max Increase   22 20 18 17 23 23 15 20 21 11 9
Avg Max Decline   -1.10% -1.74% -0.54% -2.27% -3.24% -1.40% -2.15% -2.78% -3.96% -1.31% -1.13%
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   6 17 6 12 21 8 13 15 7 4 3
2020 Contract Condition   Yes     Yes Yes Yes Yes Yes     Yes
Action   Yes     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   13 13 13 18 18 19 25 25 25 25 25
Closed Lower   6 5 6 4 8 8 8 11 11 9 6
Penetrated Low   5 3 3 3 6 5 6 5 6 6  
Scenario Percentage   83% 60% 50% 75% 75% 63% 75% 45% 55% 67% 0%
Avg Max Decline   6.58% 11.73% 3.37% 11.36% 6.21% 6.84% 12.60% 13.57% 17.19% 11.53%  
Max Decline   11.29% 22.04% 4.86% 20.68% 12.64% 15.18% 35.81% 26.13% 36.57% 26.21%  
Avg Days To Max Decline   8 14 7 17 10 10 15 15 16 16  
Avg Max Increase   -2.44% -0.66% -0.50% -2.13% -2.05% -2.96% -4.20% -8.03% -1.53% -2.49%  
Max Increase   -8.21% -4.92% -2.13% -4.63% -8.52% -6.68% -9.24% -24.96% -6.46% -3.89%  
Avg Days to Max Increase   2 6 2 12 7 10 6 19 3 5  
2020 Contract Condition     Yes Yes           Yes Yes  
Action     Yes No           No Yes  
High 8866.25 9324.25 9793.25 8918.50 9110.25 9565.00 10283.75 11045.00 12149.75 12448.75 12249.00 12408.75
Low 8334.25 8767.50 8216.25 6626.75 7386.50 8555.00 9390.50 10067.00 10830.25 10656.50 10944.50 10942.25
Close/Last 8819.50 9063.00 8500.00 7766.50 8961.50 9552.00 10135.75 10874.25 12099.50 11407.25 11046.25 12277.00

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