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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, 2019
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   37 38 38 38 38 38 38 38 38 38 38
Closed Higher   22 26 30 24 25 23 17 21 19 24 27
Exceeded High   20 25 25 21 23 20 16 15 16 20 25
Scenario Percentage   91% 96% 83% 88% 92% 87% 94% 71% 84% 83% 93%
Avg Max Increase   5.71% 5.94% 6.19% 6.15% 4.77% 5.61% 4.99% 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 21 16 18 18 15 16 20 19 17
Avg Max Decline   -0.64% -1.19% -1.77% -1.41% -1.78% -1.19% -1.88% -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 10 6 13 7 9 8 7 10 5
2018 Contract Condition   Yes   Yes   Yes Yes Yes Yes     Yes
Action   No   Yes   Yes Yes Yes No     Not Yet
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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   37 38 38 38 38 38 38 38 38 38 38
Closed Lower   15 12 8 14 13 15 21 17 19 14 11
Penetrated Low   8 7 5 8 9 10 15 13 13 7 2
Scenario Percentage   53% 58% 63% 57% 69% 67% 71% 76% 68% 50% 18%
Avg Max Decline   7.57% 7.10% 4.49% 5.75% 8.29% 10.25% 9.71% 7.35% 11.28% 8.64% 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% -0.85% -2.10% -0.19%
Max Increase   -7.14% -3.52% -2.43% -4.67% -3.40% -3.55% -5.15% -13.39% -2.96% -4.76% -0.38%
Avg Days to Max Increase   2 8 6 13 8 6 8 13 5 3 1
2018 Contract Condition     Yes   Yes         Yes Yes  
Action     No   No         Yes Yes  
High 1916.70 2001.50 1960.70 1960.20 1932.20 1974.00 2009.00 2015.60 2053.05 2052.40 2029.65 1911.90
Low 1856.05 1904.10 1770.20 1838.80 1821.30 1851.95 1932.55 1936.25 1967.10 2008.15 1769.25 1801.60
Close/Last 1900.55 1953.95 1864.60 1878.75 1872.45 1946.45 1951.65 1984.50 2044.70 2019.55 1825.10 1878.65

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