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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 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   36 37 37 37 37 37 37 37 37 37 37
Closed Higher   21 26 29 24 24 22 16 20 19 24 26
Exceeded High   20 25 24 21 22 19 15 15 16 20 25
Scenario Percentage   95% 96% 83% 88% 92% 86% 94% 75% 84% 83% 96%
Avg Max Increase   5.71% 5.94% 6.24% 6.15% 4.82% 5.64% 5.10% 4.88% 6.58% 7.01% 3.52%
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   19 20 20 16 18 18 15 16 20 19 17
Avg Max Decline   -0.64% -1.19% -1.71% -1.41% -1.82% -1.21% -1.94% -1.47% -2.36% -1.32% -0.71%
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   8 9 11 6 12 8 10 8 7 10 5
2017 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   36 37 37 37 37 37 37 37 37 37 37
Closed Lower   15 11 8 13 13 15 21 17 18 13 11
Penetrated Low   8 7 5 8 9 10 15 13 12 6 2
Scenario Percentage   53% 64% 63% 62% 69% 67% 71% 76% 67% 46% 18%
Avg Max Decline   7.57% 7.10% 4.49% 5.75% 8.29% 10.25% 9.71% 7.35% 11.19% 7.72% 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 15 13 6
Avg Max Increase   -1.29% -1.91% -1.31% -1.90% -1.30% -1.01% -1.10% -3.44% -0.88% -1.66% -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 6 2 1
2017 Contract Condition       Yes   Yes     Yes      
Action       No   No     No      
High 1698.70 1714.65 1749.85 1761.10 1756.40 1743.95 1771.05 1795.15 1769.15 1799.05 1839.10 1906.90
Low 1618.95 1659.05 1676.85 1673.30 1680.85 1683.70 1722.95 1728.95 1686.25 1707.55 1795.60 1807.05
Close/Last 1660.60 1687.20 1729.35 1719.65 1732.75 1721.70 1746.65 1760.70 1730.90 1795.95 1835.10 1899.20

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