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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 Oct 20, 2019
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   34 36 37 37 37 37 37 37 37 37 37
Closed Higher   24 23 19 18 24 18 23 27 27 24 24
Exceeded High   23 19 14 16 18 16 19 25 27 20 18
Scenario Percentage   96% 83% 74% 89% 75% 89% 83% 93% 100% 83% 75%
Avg Max Increase   4.47% 4.44% 6.06% 3.95% 4.86% 5.90% 6.92% 5.36% 5.48% 5.04% 2.70%
Max Increase   12.41% 12.17% 13.42% 9.71% 19.53% 16.68% 13.57% 13.40% 12.72% 10.65% 4.68%
Avg Days To Max Increase   15 20 19 18 16 20 20 18 17 10 8
Avg Max Decline   -1.42% -1.63% -1.20% -1.96% -1.90% -2.37% -1.34% -1.75% -1.76% -1.19% -0.73%
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   9 14 9 11 11 7 10 13 6 6 2
2019 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes   Yes Yes
Action   Yes Yes Yes Yes Yes No   No   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   34 36 37 37 37 37 37 37 37 37 37
Closed Lower   10 13 18 19 13 19 14 10 10 13 13
Penetrated Low   5 12 12 15 9 12 7 6 5 9 6
Scenario Percentage   50% 92% 67% 79% 69% 63% 50% 60% 50% 69% 46%
Avg Max Decline   5.37% 6.26% 8.95% 8.71% 8.11% 11.70% 9.16% 5.21% 10.46% 6.47% 5.46%
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 16 16 11 18 13 8
Avg Max Increase   -1.46% -1.11% -1.85% -2.31% -3.48% -2.25% -2.15% -2.05% -2.81% -1.94% -0.45%
Max Increase   -2.76% -3.93% -3.52% -8.05% -12.00% -5.50% -3.90% -5.32% -6.55% -6.12% -2.25%
Avg Days to Max Increase   6 6 8 8 12 10 8 7 12 4 3
2019 Contract Condition               Yes   Yes    
Action               Yes   No    
High 2819.40 2728.90 2754.80 2804.40 2858.90 2926.40 2954.10 2940.30 2823.20 2798.30 2712.30 2813.70
Low 2611.00 2589.00 2608.00 2703.90 2710.20 2806.80 2878.80 2649.20 2634.70 2317.10 2439.00 2681.00
Close/Last 2659.80 2660.60 2719.30 2731.20 2828.10 2913.80 2927.50 2717.30 2763.50 2505.20 2704.50 2784.70

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