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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, 2018
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   41 42 42 42 42 42 42 42 42 42 42
Closed Higher   24 25 27 26 26 23 21 25 15 26 28
Exceeded High   20 22 22 23 24 18 18 19 14 23 23
Scenario Percentage   83% 88% 81% 88% 92% 78% 86% 76% 93% 88% 82%
Avg Max Increase   336.19% 11.13% 11.13% 8.19% 8.57% 11.86% 4.99% 12.39% 13.91% 13.38% 7.09%
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 17 17 17 21 18 17 15 20 19 17
Avg Max Decline   -8.64% -2.92% -3.22% -6.80% -5.79% -3.23% -3.39% -4.06% -2.64% -2.63% -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 15 10 11 8 7 11 5
2017 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes Yes Yes Yes
Action   Yes Yes   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   41 42 42 42 42 42 42 42 42 42 42
Closed Lower   17 17 15 15 16 19 21 17 27 16 14
Penetrated Low   13 12 9 8 11 13 16 12 19 7 5
Scenario Percentage   76% 71% 60% 53% 69% 68% 76% 71% 70% 44% 36%
Avg Max Decline   8.33% 13.63% 13.76% 16.46% 6.66% 16.25% 18.78% 6.95% 22.69% 19.44% 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 15 11 11
Avg Max Increase   -4.35% -1.78% -2.94% -12.69% -1.46% -8.03% -13.33% -3.19% -19.49% -2.86% -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
2017 Contract Condition       Yes                
Action       No                
High 351.65 358.93 393.81 407.97 403.88 411.22 425.95 440.56 446.71 456.86 486.28 516.76
Low 309.34 339.43 347.44 374.34 375.04 383.68 405.47 406.61 414.17 426.46 457.67 472.37
Close/Last 336.07 349.10 391.19 390.70 399.50 407.55 412.35 433.58 438.42 456.83 481.47 512.43

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