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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for S & P 500 Stock Index as of Jan 01, 2014
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   27 25 30 30 25 24 20 26 20 26 29
Exceeded High   25 21 25 26 20 19 19 20 18 22 23
Scenario Percentage   93% 84% 83% 87% 80% 79% 95% 77% 90% 85% 79%
Avg Max Increase   5.82% 5.35% 6.15% 4.96% 5.15% 5.30% 4.85% 5.21% 7.08% 6.48% 3.37%
Max Increase   13.54% 11.08% 16.58% 12.57% 12.90% 13.07% 9.38% 18.33% 20.72% 13.32% 6.99%
Avg Days To Max Increase   18 18 17 17 20 20 18 12 19 18 16
Avg Max Decline   -1.23% -1.00% -1.53% -1.49% -1.80% -2.02% -2.03% -1.50% -2.03% -1.19% -0.62%
Max Decline   -5.29% -5.81% -5.27% -4.78% -5.42% -7.55% -5.62% -3.57% -9.22% -5.38% -2.30%
Avg Days to Max Decline   8 7 7 6 14 11 10 7 7 7 3
2013 Contract Condition   Yes Yes Yes Yes Yes   Yes   Yes Yes Yes
Action   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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   18 20 15 15 20 21 25 19 24 18 16
Penetrated Low   16 14 9 8 13 16 19 14 17 10 8
Scenario Percentage   89% 70% 60% 53% 65% 76% 76% 74% 71% 56% 50%
Avg Max Decline   6.13% 6.26% 4.22% 6.73% 7.18% 8.04% 9.04% 7.41% 8.62% 6.96% 3.65%
Max Decline   19.26% 16.11% 7.85% 14.97% 27.31% 21.63% 22.00% 16.66% 36.38% 23.51% 7.08%
Avg Days To Max Decline   16 16 17 16 16 17 19 16 15 13 9
Avg Max Increase   -1.59% -1.59% -1.67% -1.99% -1.80% -1.85% -1.87% -2.72% -1.80% -1.19% -0.52%
Max Increase   -5.95% -6.07% -5.08% -4.02% -6.64% -5.37% -7.69% -11.34% -4.50% -4.00% -5.64%
Avg Days to Max Increase   7 8 9 13 7 9 6 11 8 5 3
2013 Contract Condition             Yes   Yes      
Action             No   No      
High 1448.00 1509.95 1530.95 1570.30 1597.55 1687.20 1654.20 1698.80 1709.65 1729.85 1775.20 1813.55
Low 1398.10 1426.20 1485.00 1501.95 1536.05 1581.30 1560.35 1604.55 1627.45 1633.40 1646.45 1746.20
Close/Last 1426.20 1498.10 1514.70 1569.20 1597.55 1630.75 1606.30 1685.75 1632.95 1681.55 1756.55 1805.80

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