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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for S & P 500 Stock 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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   26 26 29 31 28 25 21 24 19 27 31
Exceeded High   24 22 25 28 22 21 19 18 17 23 24
Scenario Percentage   92% 85% 86% 90% 79% 84% 90% 75% 89% 85% 77%
Avg Max Increase   5.83% 5.21% 6.00% 4.86% 5.02% 5.12% 4.48% 5.19% 7.29% 6.39% 3.19%
Max Increase   13.54% 11.08% 16.58% 12.57% 12.90% 13.07% 9.38% 18.33% 20.72% 13.32% 6.99%
Avg Days To Max Increase   19 18 17 17 21 20 17 13 18 18 16
Avg Max Decline   -1.28% -1.20% -1.64% -1.52% -1.88% -2.02% -1.87% -1.52% -2.05% -1.23% -0.82%
Max Decline   -5.29% -5.81% -5.27% -4.78% -5.42% -7.55% -5.62% -3.57% -9.22% -5.38% -4.59%
Avg Days to Max Decline   7 7 7 7 14 12 10 7 5 8 4
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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 19 16 14 17 20 24 21 25 17 14
Penetrated Low   18 14 9 7 11 15 19 15 17 9 7
Scenario Percentage   95% 74% 56% 50% 65% 75% 79% 71% 68% 53% 50%
Avg Max Decline   5.73% 6.26% 4.22% 5.55% 6.89% 8.51% 9.00% 7.09% 8.77% 7.43% 3.47%
Max Decline   19.26% 16.11% 7.85% 11.51% 27.31% 21.63% 22.00% 16.66% 36.38% 23.51% 7.08%
Avg Days To Max Decline   14 16 17 15 14 17 19 16 15 11 8
Avg Max Increase   -1.47% -1.59% -1.67% -2.28% -2.03% -2.03% -1.89% -2.59% -1.76% -1.01% -0.69%
Max Increase   -5.95% -6.07% -5.08% -4.02% -6.64% -5.37% -7.69% -11.34% -4.50% -4.00% -5.64%
Avg Days to Max Increase   6 8 9 15 8 11 7 10 8 4 4
2017 Contract Condition       Yes                
Action       No                
High 2277.55 2301.00 2371.55 2401.00 2398.15 2418.70 2453.80 2484.05 2490.85 2519.45 2529.25  
Low 2187.45 2245.15 2271.65 2322.25 2328.95 2353.30 2405.70 2407.70 2417.35 2446.55 2520.40  
Close/Last 2238.85 2278.85 2363.65 2362.70 2384.20 2411.80 2423.40 2470.30 2471.65 2519.35 2529.10  

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