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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December S & P 500(CME) as of Sep 30, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   30 34 34 34 35 35 35 35 35 35 35
Closed Higher   17 23 23 23 23 19 16 21 15 22 24
Exceeded High   15 20 20 22 19 15 15 15 14 17 18
Scenario Percentage   88% 87% 87% 96% 83% 79% 94% 71% 93% 77% 75%
Avg Max Increase   6.08% 4.85% 5.98% 4.58% 4.42% 5.60% 3.88% 5.16% 6.12% 5.99% 2.49%
Max Increase   13.15% 10.77% 16.75% 12.49% 12.15% 13.41% 9.74% 19.72% 16.59% 11.44% 4.35%
Avg Days To Max Increase   18 16 18 15 19 18 18 14 21 11 7
Avg Max Decline   -0.87% -1.02% -1.53% -1.47% -1.77% -1.42% -2.15% -2.09% -2.57% -1.06% -0.58%
Max Decline   -5.09% -5.84% -6.03% -4.65% -5.27% -5.48% -5.54% -9.02% -9.45% -3.88% -1.43%
Avg Days to Max Decline   6 6 8 8 14 9 12 10 7 6 3
2017 Contract Condition   Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   30 34 34 34 35 35 35 35 35 35 35
Closed Lower   13 11 11 11 12 16 19 13 20 13 11
Penetrated Low   12 7 7 5 11 10 15 9 13 6 4
Scenario Percentage   92% 64% 64% 45% 92% 63% 79% 69% 65% 46% 36%
Avg Max Decline   5.87% 7.39% 3.28% 5.49% 6.10% 10.17% 8.64% 8.06% 11.23% 8.01% 2.54%
Max Decline   19.09% 13.47% 4.26% 12.01% 27.76% 21.90% 23.21% 17.74% 44.45% 23.60% 4.83%
Avg Days To Max Decline   13 15 11 11 13 15 18 14 16 16 7
Avg Max Increase   -1.59% -1.07% -1.60% -1.65% -1.06% -2.03% -2.37% -3.76% -2.15% -2.07% -1.01%
Max Increase   -5.93% -6.26% -5.53% -2.77% -3.96% -3.62% -8.12% -11.95% -5.46% -4.23% -1.76%
Avg Days to Max Increase   4 7 6 6 6 8 8 13 11 5 3
2017 Contract Condition                        
Action                        
High 2255.40 2283.20 2360.10 2390.30 2389.60 2411.90 2448.60 2477.40 2486.40 2517.70 2527.70  
Low 2165.90 2235.30 2254.30 2313.80 2318.90 2346.90 2401.50 2406.00 2414.00 2444.00 2517.80  
Close/Last 2221.30 2261.50 2352.30 2354.20 2376.20 2405.60 2418.90 2465.90 2468.10 2516.10 2526.30  

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