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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 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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   31 28 25 21 24 19 27 31 33 26 26
Exceeded High   28 22 21 19 18 17 23 28 31 24 20
Scenario Percentage   90% 79% 84% 90% 75% 89% 85% 90% 94% 92% 77%
Avg Max Increase   4.86% 5.02% 5.12% 4.48% 5.19% 7.29% 6.45% 5.36% 5.25% 5.83% 4.05%
Max Increase   12.57% 12.90% 13.07% 9.38% 18.33% 20.72% 13.32% 12.74% 12.32% 13.54% 6.90%
Avg Days To Max Increase   17 21 20 17 13 18 19 18 16 17 18
Avg Max Decline   -1.52% -1.88% -2.02% -1.87% -1.52% -2.05% -1.23% -2.05% -1.67% -1.29% -0.70%
Max Decline   -4.78% -5.42% -7.55% -5.62% -3.57% -9.22% -5.38% -5.32% -6.33% -5.29% -2.34%
Avg Days to Max Decline   7 14 12 10 7 5 8 17 6 8 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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   14 17 20 24 21 25 17 14 12 19 19
Penetrated Low   7 11 15 19 15 17 9 8 7 18 12
Scenario Percentage   50% 65% 75% 79% 71% 68% 53% 57% 58% 95% 63%
Avg Max Decline   5.55% 6.89% 8.51% 9.00% 7.09% 8.77% 7.43% 4.81% 8.52% 5.72% 5.97%
Max Decline   11.51% 27.31% 21.63% 22.00% 16.66% 36.38% 23.51% 14.25% 13.50% 19.26% 16.11%
Avg Days To Max Decline   15 14 17 19 16 15 11 10 16 14 16
Avg Max Increase   -2.28% -2.03% -2.03% -1.89% -2.59% -1.76% -1.01% -0.96% -2.15% -1.47% -1.04%
Max Increase   -4.02% -6.64% -5.37% -7.69% -11.34% -4.50% -4.00% -5.64% -6.28% -5.95% -2.95%
Avg Days to Max Increase   15 8 11 7 10 8 4 5 6 6 6
2018 Contract Condition                        
Action                        
High 2401.00 2398.15 2418.70 2453.80 2484.05 2490.85 2519.45 2583.00 2657.75 2679.65    
Low 2322.25 2328.95 2353.30 2405.70 2407.70 2417.35 2446.55 2520.40 2557.45 2605.65    
Close/Last 2362.70 2384.20 2411.80 2423.40 2470.30 2471.65 2519.35 2575.25 2647.60 2675.80    

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