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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March S & P 500(CME) as of Jan 01, 2016
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   30 32 33 33 33 33 33 33 33 33 33
Closed Higher   20 19 16 14 21 16 21 23 25 21 21
Exceeded High   19 16 11 13 16 15 17 23 25 19 15
Scenario Percentage   95% 84% 69% 93% 76% 94% 81% 100% 100% 90% 71%
Avg Max Increase   4.68% 4.52% 6.36% 4.27% 5.09% 5.91% 7.34% 5.24% 5.37% 5.17% 3.14%
Max Increase   12.41% 12.17% 13.42% 9.71% 19.53% 16.68% 13.57% 13.40% 12.72% 11.24% 6.04%
Avg Days To Max Increase   15 18 19 17 15 19 20 17 16 14 12
Avg Max Decline   -1.41% -1.57% -1.32% -2.10% -2.02% -2.55% -1.46% -1.82% -1.90% -1.30% -0.86%
Max Decline   -4.82% -5.33% -5.52% -5.51% -9.06% -9.43% -5.70% -5.53% -6.31% -5.15% -2.38%
Avg Days to Max Decline   8 11 10 12 11 7 10 14 7 6 3
2015 Contract Condition   Yes Yes Yes   Yes   Yes Yes     Yes
Action   Yes Yes Yes   Yes   Yes Yes     Not Yet
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
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   30 32 33 33 33 33 33 33 33 33 33
Closed Lower   10 13 17 19 12 17 12 10 8 12 12
Penetrated Low   5 12 11 15 9 11 5 6 4 8 6
Scenario Percentage   50% 92% 65% 79% 75% 65% 42% 60% 50% 67% 50%
Avg Max Decline   5.37% 6.26% 8.82% 8.71% 8.11% 12.42% 9.48% 5.21% 10.23% 6.46% 5.92%
Max Decline   12.05% 28.08% 22.15% 23.47% 17.95% 45.02% 23.73% 15.93% 15.02% 19.06% 9.33%
Avg Days To Max Decline   11 14 15 18 14 17 17 11 20 13 10
Avg Max Increase   -1.46% -1.11% -1.71% -2.31% -3.48% -2.44% -2.18% -2.05% -3.43% -2.12% -0.45%
Max Increase   -2.76% -3.93% -3.52% -8.05% -12.00% -5.50% -3.73% -5.32% -6.55% -6.12% -2.25%
Avg Days to Max Increase   6 6 7 8 12 10 9 7 14 5 3
2015 Contract Condition         Yes   Yes     Yes Yes  
Action         Yes   Yes     No Not Yet  
High 1855.30 1870.90 1899.30 1944.40 1969.30 1986.40 2001.90 2004.80 2065.10 2088.70 2067.00 2117.30
Low 1805.30 1786.60 1832.40 1890.90 1909.50 1885.40 1946.00 1806.00 1988.00 1960.40 1970.60 1974.00
Close/Last 1843.50 1855.60 1898.90 1937.10 1909.50 1985.90 1957.60 2003.70 2059.20 2052.40 1988.40 2102.80

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