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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, 2010
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   28 29 29 29 29 29 29 29 29 29 29
Closed Higher   17 18 22 19 20 18 11 17 15 18 19
Exceeded High   16 17 18 17 18 15 11 12 13 15 18
Scenario Percentage   94% 94% 82% 89% 90% 83% 100% 71% 87% 83% 95%
Avg Max Increase   5.59% 6.06% 7.01% 6.87% 4.96% 6.22% 5.79% 5.45% 6.60% 7.66% 3.67%
Max Increase   13.42% 12.73% 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 22 17 18 18 14 18 19 20 18
Avg Max Decline   -0.66% -0.99% -1.55% -1.25% -1.50% -1.14% -1.54% -1.72% -2.63% -1.15% -0.47%
Max Decline   -3.57% -9.28% -5.21% -4.59% -6.33% -6.76% -4.61% -3.68% -12.49% -4.63% -2.57%
Avg Days to Max Decline   6 9 10 5 11 7 9 9 7 7 5
2019 Contract Condition                        
Action                        
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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   28 29 29 29 29 29 29 29 29 29 29
Closed Lower   11 11 7 10 9 11 18 12 14 11 10
Penetrated Low   6 7 5 6 6 7 13 10 9 4 2
Scenario Percentage   55% 64% 71% 60% 67% 64% 72% 83% 64% 36% 20%
Avg Max Decline   8.99% 7.10% 4.49% 5.74% 8.83% 9.78% 9.71% 7.30% 12.84% 10.00% 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   14 15 21 23 23 19 18 16 17 15 6
Avg Max Increase   -1.21% -1.91% -1.31% -2.02% -1.48% -0.70% -1.16% -3.95% -1.10% -1.78% -0.19%
Max Increase   -7.14% -3.52% -2.43% -4.67% -3.40% -3.48% -5.15% -13.39% -2.96% -2.65% -0.38%
Avg Days to Max Increase   3 8 6 16 8 6 9 14 6 3 1
2019 Contract Condition                        
Action                        
High 1905.60                      
Low 1825.40                      
Close/Last 1826.60                      

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