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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for S & P Midcap 400 Index 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   34 35 35 35 35 35 35 35 35 35 35
Closed Higher   20 24 28 22 23 20 14 19 18 23 24
Exceeded High   19 23 23 19 21 17 13 14 15 19 23
Scenario Percentage   95% 96% 82% 86% 91% 85% 93% 74% 83% 83% 96%
Avg Max Increase   5.78% 5.89% 6.35% 6.45% 4.83% 5.82% 5.60% 5.15% 6.61% 7.14% 3.59%
Max Increase   13.42% 15.51% 20.63% 13.40% 12.75% 15.77% 13.08% 15.38% 17.53% 14.14% 8.53%
Avg Days To Max Increase   20 20 20 16 18 17 14 17 19 20 18
Avg Max Decline   -0.64% -1.33% -1.68% -1.26% -1.65% -1.20% -1.79% -1.52% -2.52% -1.31% -0.65%
Max Decline   -3.57% -9.28% -5.21% -4.59% -6.33% -6.76% -6.71% -3.68% -12.49% -4.63% -4.10%
Avg Days to Max Decline   9 9 11 5 11 8 9 8 7 9 6
2016 Contract Condition     Yes Yes Yes Yes Yes Yes Yes     Yes
Action     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   34 35 35 35 35 35 35 35 35 35 35
Closed Lower   14 11 7 13 12 15 21 16 17 12 11
Penetrated Low   8 7 5 8 9 10 15 13 11 5 2
Scenario Percentage   57% 64% 71% 62% 75% 67% 71% 81% 65% 42% 18%
Avg Max Decline   7.57% 7.10% 4.49% 5.75% 8.29% 10.25% 9.71% 7.35% 11.75% 8.81% 3.91%
Max Decline   20.20% 13.04% 5.98% 12.80% 27.18% 21.36% 22.21% 19.49% 44.12% 28.50% 3.95%
Avg Days To Max Decline   12 15 21 18 17 16 16 15 16 15 6
Avg Max Increase   -1.29% -1.91% -1.31% -1.90% -1.30% -1.01% -1.10% -3.44% -0.95% -1.94% -0.19%
Max Increase   -7.14% -3.52% -2.43% -4.67% -3.40% -3.55% -5.15% -13.39% -2.96% -2.65% -0.38%
Avg Days to Max Increase   2 8 6 13 8 6 8 13 5 3 1
2016 Contract Condition   Yes               Yes Yes  
Action   No               Yes Yes  
High 1473.35 1392.85 1347.80 1451.30 1490.10 1498.40 1526.60 1562.80 1575.70 1581.55 1554.20 1640.80
Low 1372.05 1215.10 1229.10 1338.10 1411.10 1419.75 1409.50 1473.25 1533.20 1509.80 1496.95 1475.35
Close/Last 1398.60 1317.75 1334.20 1445.20 1461.65 1493.05 1496.50 1559.45 1564.75 1552.25 1509.45 1627.50

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