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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 Jan 01, 2018
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   31 35 35 35 36 36 36 36 36 36 36
Closed Higher   18 24 24 24 24 20 17 22 16 23 25
Exceeded High   16 21 21 23 20 16 16 16 15 18 19
Scenario Percentage   89% 88% 88% 96% 83% 80% 94% 73% 94% 78% 76%
Avg Max Increase   6.05% 4.69% 5.81% 4.52% 4.35% 5.43% 3.77% 5.12% 6.09% 5.87% 2.40%
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   17 15 18 15 19 17 18 15 21 11 7
Avg Max Decline   -0.83% -0.92% -1.53% -1.46% -1.69% -1.36% -2.14% -2.02% -2.39% -1.03% -0.64%
Max Decline   -5.09% -5.84% -6.03% -4.65% -5.27% -5.48% -5.54% -9.02% -9.45% -3.88% -1.62%
Avg Days to Max Decline   6 5 8 9 15 8 12 10 7 6 3
2017 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
Action   Yes Yes 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   31 35 35 35 36 36 36 36 36 36 36
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 2580.50 2658.00
Low 2165.90 2235.30 2254.30 2313.80 2318.90 2346.90 2401.50 2406.00 2414.00 2444.00 2517.80 2556.70
Close/Last 2221.30 2261.50 2352.30 2354.20 2376.20 2405.60 2418.90 2465.90 2468.10 2516.10 2572.70 2647.90

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