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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 Dec 30, 2016
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 26 29 31 27 25 20 25 19 27 30
Exceeded High   25 22 25 27 21 20 18 19 17 23 23
Scenario Percentage   93% 85% 86% 87% 78% 80% 90% 76% 89% 85% 77%
Avg Max Increase   5.82% 5.20% 6.08% 4.94% 5.07% 5.15% 4.67% 5.04% 7.29% 6.39% 3.17%
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 18 17 20 20 17 13 18 18 16
Avg Max Decline   -1.23% -1.17% -1.59% -1.51% -1.73% -2.06% -1.90% -1.44% -2.05% -1.23% -0.84%
Max Decline   -5.29% -5.81% -5.27% -4.78% -5.42% -7.55% -5.62% -3.57% -9.22% -5.38% -4.59%
Avg Days to Max Decline   8 7 7 7 14 12 10 7 5 8 4
2016 Contract Condition       Yes Yes Yes Yes Yes       Yes
Action       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 19 16 14 18 20 25 20 25 17 15
Penetrated Low   17 14 9 7 12 15 20 14 17 9 7
Scenario Percentage   94% 74% 56% 50% 67% 75% 80% 70% 68% 53% 47%
Avg Max Decline   5.67% 6.26% 4.22% 5.55% 6.65% 8.51% 8.66% 7.41% 9.03% 7.68% 3.47%
Max Decline   19.26% 16.11% 7.85% 11.51% 27.31% 21.63% 22.00% 16.66% 36.38% 23.51% 7.08%
Avg Days To Max Decline   14 16 17 15 15 17 18 16 16 13 8
Avg Max Increase   -1.54% -1.59% -1.67% -2.28% -1.99% -2.03% -1.81% -2.72% -1.85% -1.08% -0.69%
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   6 8 9 15 7 11 6 11 8 5 4
2016 Contract Condition   Yes Yes           Yes Yes Yes  
Action   Yes No           Yes Yes Yes  
High 2104.25 2038.20 1962.95 2072.20 2111.05 2103.50 2120.55 2177.10 2193.80 2187.85 2169.60 2214.10
Low 1993.25 1812.30 1810.10 1937.10 2033.80 2025.90 1991.70 2074.00 2147.60 2119.10 2114.70 2083.80
Close/Last 2043.95 1940.25 1932.25 2059.75 2065.30 2096.95 2098.85 2173.60 2170.95 2168.25 2126.15 2198.80

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