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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September S & P 500(CME) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   31 33 34 34 34 34 34 35 35 35 35
Closed Higher   21 24 25 20 22 23 23 23 19 16 21
Exceeded High   18 23 24 18 19 20 22 20 14 14 13
Scenario Percentage   86% 96% 96% 90% 86% 87% 96% 87% 74% 88% 62%
Avg Max Increase   6.86% 5.23% 5.54% 6.04% 5.02% 6.04% 4.68% 4.30% 5.73% 3.35% 2.35%
Max Increase   13.89% 13.82% 12.33% 13.22% 10.71% 16.76% 12.53% 12.17% 13.44% 7.27% 5.60%
Avg Days To Max Increase   21 18 17 17 16 18 16 19 20 12 8
Avg Max Decline   -0.96% -1.70% -1.66% -1.05% -1.10% -1.55% -1.52% -1.91% -2.07% -1.66% -0.99%
Max Decline   -5.36% -5.48% -6.45% -5.10% -5.79% -5.91% -4.72% -5.26% -8.31% -3.75% -2.80%
Avg Days to Max Decline   9 14 7 5 5 9 10 13 12 9 3
2016 Contract Condition   Yes Yes       Yes Yes Yes Yes Yes Yes
Action   Yes No       Yes Yes Yes Yes Yes Not Yet
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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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   31 33 34 34 34 34 34 35 35 35 35
Closed Lower   10 9 9 14 12 11 11 12 16 19 14
Penetrated Low   5 5 5 12 7 7 5 11 10 13 3
Scenario Percentage   50% 56% 56% 86% 58% 64% 45% 92% 63% 68% 21%
Avg Max Decline   9.48% 5.94% 10.48% 5.76% 7.37% 3.27% 5.55% 6.13% 10.50% 7.69% 3.56%
Max Decline   24.17% 15.81% 14.84% 19.06% 13.25% 4.32% 12.34% 27.84% 22.10% 16.65% 5.43%
Avg Days To Max Decline   17 13 18 15 15 10 11 14 16 11 8
Avg Max Increase   -2.21% -1.78% -2.25% -1.70% -1.07% -1.63% -1.70% -1.31% -2.17% -1.79% -2.69%
Max Increase   -3.73% -4.90% -6.26% -5.98% -6.16% -5.74% -2.88% -4.15% -3.46% -8.20% -5.24%
Avg Days to Max Increase   9 6 12 6 8 6 6 6 8 4 4
2016 Contract Condition       Yes Yes Yes            
Action       Yes Yes No            
High 1973.80 2065.10 2089.70 2082.10 1998.40 1942.80 2054.50 2096.60 2093.50 2119.40 2171.90 2191.20
Low 1839.80 1863.30 1995.70 1973.00 1792.50 1791.20 1951.50 2020.10 2014.40 1984.90 2067.50 2142.00
Close/Last 1887.10 2052.50 2060.10 2022.50 1914.70 1912.90 2043.60 2051.20 2086.70 2090.20 2168.20 2169.50

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