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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 Dec 30, 2016
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   39 40 40 40 40 40 40 40 40 40 40
Closed Higher   23 24 26 24 24 21 19 24 14 25 26
Exceeded High   19 21 21 22 22 16 16 18 13 22 21
Scenario Percentage   83% 88% 81% 92% 92% 76% 84% 75% 93% 88% 81%
Avg Max Increase   353.00% 11.45% 11.19% 8.26% 8.38% 11.85% 5.11% 12.48% 13.98% 13.44% 6.93%
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 19 17 14 19 19 18
Avg Max Decline   -9.07% -3.15% -3.20% -6.93% -5.55% -3.33% -3.35% -4.14% -2.86% -2.67% -2.29%
Max Decline   -90.81% -20.91% -24.02% -99.66% -40.09% -13.45% -26.63% -47.49% -16.25% -16.41% -17.11%
Avg Days to Max Decline   6 8 9 9 14 11 11 9 7 11 5
2016 Contract Condition       Yes Yes Yes Yes Yes       Yes
Action       Yes No 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   39 40 40 40 40 40 40 40 40 40 40
Closed Lower   16 16 14 15 16 19 21 16 26 15 14
Penetrated Low   13 12 9 8 11 13 16 11 18 6 5
Scenario Percentage   81% 75% 64% 53% 69% 68% 76% 69% 69% 40% 36%
Avg Max Decline   8.33% 13.63% 13.76% 16.46% 6.66% 16.25% 18.78% 6.97% 23.31% 21.51% 23.66%
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   15 18 15 16 13 15 17 17 16 12 11
Avg Max Increase   -4.35% -1.78% -2.94% -12.69% -1.46% -8.03% -13.33% -3.26% -20.52% -3.20% -21.42%
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 10 6 6 11 7 12 8 2 4
2016 Contract Condition   Yes Yes           Yes Yes Yes  
Action   No No           Yes Yes Yes  
High 282.54 254.17 219.59 264.31 282.94 275.62 280.53 308.51 314.97 311.91 306.37 320.69
Low 234.84 154.60 156.25 205.85 248.32 242.72 227.84 263.32 297.52 283.92 284.08 268.33
Close/Last 256.07 212.98 204.08 257.57 259.66 272.29 272.77 306.39 304.72 303.32 288.51 313.48

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