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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for S & P 100(OEX) 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   40 41 41 41 41 41 41 41 41 41 41
Closed Higher   23 22 27 27 24 22 20 24 15 24 27
Exceeded High   19 20 24 24 22 17 17 19 14 20 22
Scenario Percentage   83% 91% 89% 89% 92% 77% 85% 79% 93% 83% 81%
Avg Max Increase   5.21% 4.90% 5.92% 4.95% 4.56% 5.84% 4.23% 4.53% 6.73% 6.74% 3.50%
Max Increase   13.80% 10.84% 14.38% 12.09% 13.06% 12.36% 8.42% 15.80% 19.90% 14.70% 8.07%
Avg Days To Max Increase   18 17 18 19 22 19 16 14 18 19 18
Avg Max Decline   -1.29% -1.45% -1.50% -1.73% -2.09% -1.43% -1.84% -1.42% -1.66% -1.17% -1.17%
Max Decline   -5.46% -6.16% -5.14% -4.51% -5.40% -4.86% -5.76% -3.13% -7.75% -5.57% -5.32%
Avg Days to Max Decline   7 8 8 9 15 10 10 8 7 11 5
2017 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes Yes Yes  
Action   Yes 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   40 41 41 41 41 41 41 41 41 41 41
Closed Lower   17 19 14 13 16 19 20 17 26 17 14
Penetrated Low   14 13 8 7 11 13 16 12 18 8 5
Scenario Percentage   82% 68% 57% 54% 69% 68% 80% 71% 69% 47% 36%
Avg Max Decline   5.07% 6.27% 2.70% 4.98% 6.67% 7.98% 7.60% 6.57% 8.58% 6.32% 3.56%
Max Decline   18.90% 14.44% 4.46% 11.49% 27.26% 21.45% 22.85% 16.87% 33.52% 22.17% 5.83%
Avg Days To Max Decline   15 18 14 15 13 15 17 17 15 12 11
Avg Max Increase   -1.83% -1.37% -2.01% -1.55% -1.46% -1.82% -1.95% -3.06% -2.03% -1.56% -1.95%
Max Increase   -5.33% -5.81% -5.83% -3.94% -3.65% -4.36% -7.79% -9.65% -5.18% -5.02% -6.03%
Avg Days to Max Increase   6 7 6 5 6 11 7 12 8 2 4
2017 Contract Condition       Yes                
Action       No                
High 1007.00 1014.30 1049.15 1063.35 1059.25 1066.60 1081.30 1095.90 1102.05 1112.20 1116.80  
Low 964.70 994.80 1002.80 1029.70 1030.40 1039.05 1060.85 1061.95 1069.55 1081.80 1113.05  
Close/Last 991.45 1004.45 1046.55 1046.05 1054.85 1062.90 1067.70 1088.95 1093.80 1112.20 1116.75  

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