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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 Dec 31, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   41 41 41 41 41 41 41 41 41 41 42
Closed Higher   27 24 22 20 24 15 24 27 28 24 23
Exceeded High   24 22 17 17 19 14 20 24 25 20 18
Scenario Percentage   89% 92% 77% 85% 79% 93% 83% 89% 89% 83% 78%
Avg Max Increase   4.95% 4.56% 5.84% 4.23% 4.53% 6.73% 6.81% 5.45% 6.03% 5.22% 3.82%
Max Increase   12.09% 13.06% 12.36% 8.42% 15.80% 19.90% 14.70% 14.74% 13.37% 13.61% 7.32%
Avg Days To Max Increase   19 22 19 16 14 18 20 18 17 16 18
Avg Max Decline   -1.73% -2.09% -1.43% -1.84% -1.42% -1.66% -1.17% -1.83% -1.88% -1.24% -0.67%
Max Decline   -4.51% -5.40% -4.86% -5.76% -3.13% -7.75% -5.57% -5.32% -6.34% -5.46% -2.25%
Avg Days to Max Decline   9 15 10 10 8 7 11 14 7 6 3
2018 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   41 41 41 41 41 41 41 41 41 41 42
Closed Lower   13 16 19 20 17 26 17 14 13 17 19
Penetrated Low   7 11 13 16 12 18 8 6 10 14 12
Scenario Percentage   54% 69% 68% 80% 71% 69% 47% 43% 77% 82% 63%
Avg Max Decline   4.98% 6.67% 7.98% 7.60% 6.57% 8.58% 6.32% 6.75% 8.93% 5.06% 5.51%
Max Decline   11.49% 27.26% 21.45% 22.85% 16.87% 33.52% 22.17% 14.05% 19.31% 18.90% 14.44%
Avg Days To Max Decline   15 13 15 17 17 15 12 14 18 15 18
Avg Max Increase   -1.55% -1.46% -1.82% -1.95% -3.06% -2.03% -1.56% -2.09% -2.58% -1.83% -1.00%
Max Increase   -3.94% -3.65% -4.36% -7.79% -9.65% -5.18% -5.02% -6.03% -6.82% -5.33% -3.94%
Avg Days to Max Increase   5 6 11 7 12 8 2 5 8 6 7
2018 Contract Condition                        
Action                        
High 1063.35 1059.25 1066.60 1081.30 1095.90 1102.05 1112.20 1141.65 1172.10 1188.00    
Low 1029.70 1030.40 1039.05 1060.85 1061.95 1069.55 1081.80 1113.05 1127.75 1151.15    
Close/Last 1046.05 1054.85 1062.90 1067.70 1088.95 1093.80 1112.20 1136.85 1167.80 1186.70    

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