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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for S & P Midcap 400 Index as of Sep 30, 2017
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   35 36 36 36 36 36 36 36 36 36 36
Closed Higher   20 25 29 23 24 21 15 20 18 23 25
Exceeded High   19 24 24 20 22 18 14 15 15 19 24
Scenario Percentage   95% 96% 83% 87% 92% 86% 93% 75% 83% 83% 96%
Avg Max Increase   5.78% 6.11% 6.24% 6.35% 4.82% 5.79% 5.30% 4.88% 6.61% 7.14% 3.63%
Max Increase   13.42% 15.51% 20.63% 13.40% 12.75% 15.77% 13.08% 15.38% 17.53% 14.14% 8.53%
Avg Days To Max Increase   20 21 20 16 18 17 14 16 19 20 18
Avg Max Decline   -0.64% -1.28% -1.71% -1.34% -1.82% -1.22% -1.78% -1.47% -2.52% -1.31% -0.64%
Max Decline   -3.57% -9.28% -5.21% -4.59% -6.33% -6.76% -6.71% -3.68% -12.49% -4.63% -4.10%
Avg Days to Max Decline   9 9 11 6 12 8 9 8 7 9 5
2017 Contract Condition   Yes 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   35 36 36 36 36 36 36 36 36 36 36
Closed Lower   15 11 7 13 12 15 21 16 18 13 11
Penetrated Low   8 7 5 8 9 10 15 13 12 6 2
Scenario Percentage   53% 64% 71% 62% 75% 67% 71% 81% 67% 46% 18%
Avg Max Decline   7.57% 7.10% 4.49% 5.75% 8.29% 10.25% 9.71% 7.35% 11.19% 7.72% 3.91%
Max Decline   20.20% 13.04% 5.98% 12.80% 27.18% 21.36% 22.21% 19.49% 44.12% 28.50% 3.95%
Avg Days To Max Decline   12 15 21 18 17 16 16 15 15 13 6
Avg Max Increase   -1.29% -1.91% -1.31% -1.90% -1.30% -1.01% -1.10% -3.44% -0.88% -1.66% -0.19%
Max Increase   -7.14% -3.52% -2.43% -4.67% -3.40% -3.55% -5.15% -13.39% -2.96% -2.65% -0.38%
Avg Days to Max Increase   2 8 6 13 8 6 8 13 6 2 1
2017 Contract Condition       Yes   Yes     Yes      
Action       No   No     Not Yet      
High 1698.70 1714.65 1749.85 1761.10 1756.40 1743.95 1771.05 1795.15 1769.15 1799.05 1811.05  
Low 1618.95 1659.05 1676.85 1673.30 1680.85 1683.70 1722.95 1728.95 1686.25 1707.55 1795.60  
Close/Last 1660.60 1687.20 1729.35 1719.65 1732.75 1721.70 1746.65 1760.70 1730.90 1795.95 1811.00  

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