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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 Jan 21, 2022
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   36 38 39 39 39 39 39 40 40 40 40
Closed Higher   23 29 29 23 25 26 28 27 23 21 25
Exceeded High   20 27 28 20 22 23 27 24 18 18 15
Scenario Percentage   87% 93% 97% 87% 88% 88% 96% 89% 78% 86% 60%
Avg Max Increase   6.76% 5.41% 5.58% 6.01% 5.16% 5.82% 4.68% 4.49% 6.12% 3.66% 2.37%
Max Increase   13.92% 13.86% 12.33% 13.20% 10.70% 16.78% 12.55% 12.19% 14.04% 9.87% 5.68%
Avg Days To Max Increase   21 18 17 16 16 18 17 20 21 12 8
Avg Max Decline   -0.85% -1.55% -1.45% -0.96% -1.01% -1.32% -1.84% -1.85% -1.65% -1.53% -0.87%
Max Decline   -5.38% -5.48% -6.46% -5.09% -5.78% -5.85% -7.35% -5.25% -8.33% -3.77% -2.82%
Avg Days to Max Decline   9 13 8 5 5 8 11 15 10 9 2
2021 Contract Condition     Yes Yes   Yes Yes Yes Yes Yes Yes Yes
Action     Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   36 38 39 39 39 39 39 40 40 40 40
Closed Lower   13 9 10 15 14 13 11 12 15 19 15
Penetrated Low   7 5 5 13 8 8 5 11 9 14 3
Scenario Percentage   54% 56% 50% 87% 57% 62% 45% 92% 60% 74% 20%
Avg Max Decline   9.11% 5.95% 10.49% 7.74% 9.53% 3.18% 5.55% 5.84% 10.64% 7.54% 3.59%
Max Decline   24.17% 15.82% 14.85% 31.35% 24.69% 4.32% 12.35% 27.85% 22.10% 16.65% 5.42%
Avg Days To Max Decline   16 13 18 16 16 9 11 12 17 12 8
Avg Max Increase   -2.16% -1.79% -2.25% -1.95% -1.62% -1.10% -1.68% -1.29% -2.04% -1.92% -2.69%
Max Increase   -3.90% -4.89% -6.27% -5.97% -6.16% -5.66% -2.87% -4.15% -3.46% -8.16% -5.24%
Avg Days to Max Increase   7 6 12 7 8 5 6 5 8 5 4
2021 Contract Condition   Yes     Yes              
Action   No     No              
High 3535.25 3498.50 3600.50 3729.75 3827.50 3910.25 3957.25 4193.50 4215.50 4293.25 4416.00 4541.25
Low 3201.00 3232.25 3270.00 3613.75 3670.25 3745.75 3745.25 3999.50 4048.75 4127.75 4251.25 4348.50
Close/Last 3323.00 3232.50 3584.75 3729.75 3684.75 3790.00 3957.25 4164.50 4192.50 4288.50 4389.50 4520.50

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