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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 Feb 26, 2020
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   43 44 44 44 44 44 44 44 44 44 44
Closed Higher   26 26 28 28 27 25 22 27 16 27 30
Exceeded High   21 23 23 24 25 19 19 21 15 23 24
Scenario Percentage   81% 88% 82% 86% 93% 76% 86% 78% 94% 85% 80%
Avg Max Increase   320.84% 11.30% 11.07% 8.39% 8.78% 12.20% 5.29% 11.50% 13.15% 13.38% 9.31%
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 18 17 21 19 17 14 19 19 18
Avg Max Decline   -8.34% -2.96% -3.03% -6.70% -5.60% -3.14% -3.26% -8.58% -2.43% -2.63% -3.71%
Max Decline   -90.81% -20.91% -24.02% -99.66% -40.09% -13.45% -26.63% -99.95% -16.25% -16.41% -36.45%
Avg Days to Max Decline   6 8 9 9 16 10 10 9 6 11 5
2019 Contract Condition   Yes Yes Yes Yes   Yes   Yes   Yes Yes
Action   Yes Yes Yes No   No   Yes   No 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   43 44 44 44 44 44 44 44 44 44 44
Closed Lower   17 18 16 15 17 19 22 17 28 17 14
Penetrated Low   13 13 10 8 12 13 17 12 19 8 5
Scenario Percentage   76% 72% 63% 53% 71% 68% 77% 71% 68% 47% 36%
Avg Max Decline   8.33% 13.75% 13.15% 16.46% 14.43% 16.25% 23.25% 6.95% 22.69% 20.78% 23.66%
Max Decline   38.13% 99.39% 99.63% 96.90% 99.87% 86.90% 94.82% 16.87% 96.80% 98.63% 96.88%
Avg Days To Max Decline   15 17 14 16 12 15 18 17 15 13 11
Avg Max Increase   -4.35% -2.12% -2.61% -12.69% -2.70% -8.03% -603.33% -3.19% -19.49% -3.50% -21.42%
Max Increase   -30.60% -6.24% -10.31% -90.59% -16.43% -73.48% -10043.33% -9.65% -168.31% -9.63% -100.36%
Avg Days to Max Increase   7 8 9 6 7 11 7 12 8 3 4
2019 Contract Condition           Yes   Yes   Yes    
Action           Yes   Yes   No    
High 588.98 539.18 580.24 609.77 654.28 652.89 651.64 30.27 646.13 642.85 652.46 93.91
Low 386.30 430.78 523.58 545.72 603.03 558.99 544.38 0.71 591.38 0.33 2.04 43.88
Close/Last 458.51 536.32 568.19 596.20 649.84 559.66 642.10 6.37 637.02 4.53 39.04 87.91

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