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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 Feb 28, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   36 36 36 36 36 36 36 36 37 37 37
Closed Higher   21 15 20 18 23 25 26 21 26 29 24
Exceeded High   18 14 15 15 19 24 25 20 25 24 19
Scenario Percentage   86% 93% 75% 83% 83% 96% 96% 95% 96% 83% 79%
Avg Max Increase   5.79% 5.30% 4.88% 6.61% 7.55% 6.05% 5.89% 5.71% 5.94% 6.18% 4.48%
Max Increase   15.77% 13.08% 15.38% 17.53% 17.44% 13.67% 17.05% 13.42% 15.51% 20.63% 8.60%
Avg Days To Max Increase   17 14 16 19 22 19 16 19 20 20 20
Avg Max Decline   -1.22% -1.78% -1.47% -2.52% -1.31% -1.17% -2.05% -0.64% -1.19% -1.71% -0.97%
Max Decline   -6.76% -6.71% -3.68% -12.49% -4.63% -5.65% -7.86% -3.57% -9.28% -5.21% -2.95%
Avg Days to Max Decline   8 9 8 7 9 13 6 8 9 11 3
2018 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes      
Action   Yes Yes   Yes Yes Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   36 36 36 36 36 36 36 36 37 37 37
Closed Lower   15 21 16 18 13 11 9 15 11 8 13
Penetrated Low   10 15 13 12 6 3 7 8 7 5 7
Scenario Percentage   67% 71% 81% 67% 46% 27% 78% 53% 64% 63% 54%
Avg Max Decline   10.25% 9.71% 7.35% 11.19% 7.72% 7.62% 8.91% 7.57% 7.10% 4.49% 4.00%
Max Decline   21.36% 22.21% 19.49% 44.12% 28.50% 15.04% 14.79% 20.20% 13.04% 5.98% 8.84%
Avg Days To Max Decline   16 16 15 15 13 11 17 12 15 21 19
Avg Max Increase   -1.01% -1.10% -3.44% -0.88% -1.66% -1.45% -1.08% -1.29% -1.91% -1.31% -1.55%
Max Increase   -3.55% -5.15% -13.39% -2.96% -2.65% -3.97% -4.23% -7.14% -3.52% -2.43% -2.09%
Avg Days to Max Increase   6 8 13 6 2 4 4 2 8 6 6
2018 Contract Condition       Yes           Yes    
Action       No                
High 1743.95 1771.05 1795.15 1769.15 1799.05 1839.10 1906.90 1916.70 2001.50 1960.70    
Low 1683.70 1722.95 1728.95 1686.25 1707.55 1795.60 1807.05 1856.05 1904.10 1770.20    
Close/Last 1721.70 1746.65 1760.70 1730.90 1795.95 1835.10 1899.20 1900.55 1953.95 1904.25    

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