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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 31, 2020
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   43 43 43 43 43 43 43 43 43 44 44
Closed Higher   27 24 22 26 16 26 29 28 26 26 28
Exceeded High   25 19 19 20 15 23 25 24 21 23 21
Scenario Percentage   93% 79% 86% 77% 94% 88% 86% 86% 81% 88% 75%
Avg Max Increase   8.78% 12.20% 5.29% 11.95% 13.15% 13.47% 9.50% 7.35% 320.84% 11.27% 6.22%
Max Increase   37.88% 63.49% 16.81% 146.50% 66.56% 131.91% 75.44% 17.21% 5621.63% 133.86% 29.12%
Avg Days To Max Increase   21 19 17 14 19 19 18 17 18 18 20
Avg Max Decline   -5.60% -3.14% -3.26% -4.01% -2.43% -2.63% -2.83% -2.97% -8.34% -2.96% -2.35%
Max Decline   -40.09% -13.45% -26.63% -47.49% -16.25% -16.41% -17.11% -32.48% -90.81% -20.91% -24.02%
Avg Days to Max Decline   16 10 10 8 6 11 14 7 6 8 4
2020 Contract Condition     Yes   Yes   Yes Yes Yes Yes    
Action     No   Yes   No 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   43 43 43 43 43 43 43 43 43 44 44
Closed Lower   16 19 21 17 27 17 14 15 17 18 16
Penetrated Low   11 13 16 12 19 8 6 10 13 13 8
Scenario Percentage   69% 68% 76% 71% 70% 47% 43% 67% 76% 72% 50%
Avg Max Decline   6.66% 16.25% 18.78% 6.95% 22.69% 20.78% 41.23% 29.60% 8.33% 13.75% 3.15%
Max Decline   27.26% 86.90% 89.01% 16.87% 96.80% 98.63% 99.48% 95.64% 38.13% 99.39% 7.71%
Avg Days To Max Decline   13 15 17 17 15 13 12 15 15 17 10
Avg Max Increase   -1.46% -8.03% -13.33% -3.19% -19.49% -3.50% -18.08% -13.45% -4.35% -2.12% -1.01%
Max Increase   -3.67% -73.48% -119.37% -9.65% -168.31% -9.63% -100.36% -107.33% -30.60% -6.24% -2.96%
Avg Days to Max Increase   6 11 7 12 8 3 6 6 7 8 5
2020 Contract Condition   Yes   Yes   Yes            
Action   Yes   Yes   No            
High 654.28 652.89 651.64 30.27 646.13 642.85 652.46 93.91 141.00 182.39    
Low 603.03 558.99 544.38 0.71 591.38 0.33 2.04 43.88 55.87 125.51    
Close/Last 649.84 559.66 642.10 6.37 637.02 4.53 39.04 87.91 131.45 135.99    

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