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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, 2019
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   42 43 43 43 43 43 43 43 43 43 43
Closed Higher   25 25 27 27 27 24 22 26 16 26 29
Exceeded High   20 22 22 24 25 19 19 20 15 23 23
Scenario Percentage   80% 88% 81% 89% 93% 79% 86% 77% 94% 88% 79%
Avg Max Increase   336.19% 11.13% 11.13% 8.39% 8.78% 12.20% 5.29% 11.95% 13.15% 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 19 17 14 19 19 17
Avg Max Decline   -8.64% -2.92% -3.22% -6.70% -5.60% -3.14% -3.26% -4.01% -2.43% -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 16 10 10 8 6 11 5
2018 Contract Condition   Yes     Yes Yes Yes Yes Yes Yes   Yes
Action   No     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   42 43 43 43 43 43 43 43 43 43 43
Closed Lower   17 18 16 15 16 19 21 17 27 17 14
Penetrated Low   13 13 10 8 11 13 16 12 19 8 5
Scenario Percentage   76% 72% 63% 53% 69% 68% 76% 71% 70% 47% 36%
Avg Max Decline   8.33% 13.75% 13.15% 16.46% 6.66% 16.25% 18.78% 6.95% 22.69% 20.78% 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 17 14 16 13 15 17 17 15 13 11
Avg Max Increase   -4.35% -2.12% -2.61% -12.69% -1.46% -8.03% -13.33% -3.19% -19.49% -3.50% -21.42%
Max Increase   -30.60% -6.24% -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 9 6 6 11 7 12 8 3 4
2018 Contract Condition     Yes Yes             Yes  
Action     Yes Yes             Yes  
High 539.89 618.63 603.52 580.61 536.86 551.49 571.12 606.21 637.58 648.91 654.37 597.76
Low 495.79 531.96 464.72 476.62 463.33 483.19 527.57 530.25 581.04 612.26 504.19 505.76
Close/Last 527.79 596.06 546.51 502.01 505.37 533.55 539.14 586.40 631.54 638.91 553.48 569.83

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