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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for S & P 100(OEX) as of Jan 01, 2014
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   23 22 25 22 22 20 18 23 14 23 25
Exceeded High   19 19 20 20 20 15 16 17 13 20 20
Scenario Percentage   83% 86% 80% 91% 91% 75% 89% 74% 93% 87% 80%
Avg Max Increase   353.00% 11.87% 11.04% 7.76% 7.97% 11.85% 5.11% 12.92% 13.98% 13.87% 7.13%
Max Increase   5621.63% 134.56% 107.78% 60.72% 37.88% 63.49% 16.81% 146.50% 66.56% 131.91% 71.53%
Avg Days To Max Increase   18 18 17 17 21 18 17 14 19 19 17
Avg Max Decline   -9.07% -2.49% -2.68% -7.14% -5.52% -2.96% -3.35% -4.16% -2.86% -2.44% -1.55%
Max Decline   -90.81% -20.91% -24.02% -99.66% -40.09% -13.45% -26.63% -47.49% -16.25% -16.41% -12.11%
Avg Days to Max Decline   6 7 9 9 14 9 11 8 7 10 5
2013 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   37 38 38 38 38 38 38 38 38 38 38
Closed Lower   14 16 13 15 16 18 20 15 24 15 13
Penetrated Low   11 12 8 8 11 12 15 11 17 6 4
Scenario Percentage   79% 75% 62% 53% 69% 67% 75% 73% 71% 40% 31%
Avg Max Decline   8.35% 13.63% 15.03% 16.46% 6.66% 14.36% 19.64% 6.97% 22.93% 21.51% 26.23%
Max Decline   38.13% 99.39% 99.63% 96.90% 27.26% 86.90% 89.01% 16.87% 96.80% 98.63% 96.88%
Avg Days To Max Decline   17 18 17 16 13 15 18 17 16 12 11
Avg Max Increase   -4.53% -1.78% -3.30% -12.69% -1.46% -7.39% -14.05% -3.26% -21.67% -3.20% -25.72%
Max Increase   -30.60% -5.91% -10.31% -90.59% -3.67% -73.48% -119.37% -9.65% -168.31% -9.63% -100.36%
Avg Days to Max Increase   7 8 11 6 6 10 7 12 8 2 5
2013 Contract Condition   Yes         Yes   Yes      
Action   No         No   No      
High 655.28 25.45 33.91 49.72 63.73 102.25 88.92 106.69 110.34 116.66 136.16 154.50
Low 633.93 3.37 15.52 21.49 37.39 56.68 48.03 65.16 73.27 75.44 77.69 124.95
Close/Last 646.61 19.53 27.17 49.21 63.62 78.27 65.26 99.87 75.56 92.76 128.03 151.00

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US stock indices have still continued into new all-time highs, and some international stock markets have also been trending higher. Are there certain times of the year that have consistently provided incredible opportunities? But which way and when? MRCI has just released the 2024 Historical Indices Report, complete with seasonal patterns not only for US futures on S&P500, S&P MidCap 400, NASDAQ 100, Russell 2000, and DJIA but also for futures on several major international indices including the FT-SE 100, CAC 40, Nikkei 225, DAX, Euro STOXX 50, Swiss Market Index, SPI 200, and Hang Seng Index.