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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, 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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   27 26 28 32 29 27 21 25 20 27 32
Exceeded High   24 22 24 29 24 23 20 20 17 23 24
Scenario Percentage   89% 85% 86% 91% 83% 85% 95% 80% 85% 85% 75%
Avg Max Increase   5.85% 5.11% 6.12% 4.88% 4.94% 5.11% 4.33% 4.96% 7.45% 6.30% 3.18%
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 16 21 20 18 14 19 19 16
Avg Max Decline   -1.29% -1.18% -1.62% -1.49% -1.76% -1.90% -1.88% -1.49% -2.04% -1.30% -0.92%
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 5 6 7 15 11 10 7 5 9 4
2018 Contract Condition   Yes     Yes Yes Yes Yes Yes Yes   Yes
Action   No     Yes Yes Yes Yes Yes No   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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   18 19 17 13 16 18 24 20 24 17 13
Penetrated Low   17 13 9 6 10 13 19 15 16 9 6
Scenario Percentage   94% 68% 53% 46% 63% 72% 79% 75% 67% 53% 46%
Avg Max Decline   5.70% 6.42% 3.71% 5.74% 7.23% 9.45% 9.00% 7.09% 9.10% 7.27% 3.38%
Max Decline   19.26% 16.11% 7.55% 11.51% 27.31% 21.63% 22.00% 16.66% 36.38% 23.51% 7.08%
Avg Days To Max Decline   14 15 15 13 15 17 19 16 15 13 8
Avg Max Increase   -1.52% -1.48% -1.54% -1.99% -1.91% -1.80% -1.89% -2.59% -1.88% -1.50% -1.16%
Max Increase   -5.95% -6.07% -5.08% -3.10% -6.64% -3.50% -7.69% -11.34% -4.50% -4.00% -5.64%
Avg Days to Max Increase   5 7 8 16 7 10 7 10 8 5 4
2018 Contract Condition     Yes Yes             Yes  
Action     No Yes             Yes  
High 2694.95 2872.85 2835.95 2801.90 2717.50 2742.25 2791.45 2848.05 2916.50 2940.90 2939.85 2815.15
Low 2605.65 2682.35 2532.70 2585.90 2553.80 2594.60 2692.00 2698.95 2796.35 2864.10 2603.55 2631.10
Close/Last 2673.60 2823.80 2713.85 2640.85 2648.05 2705.25 2718.35 2816.30 2901.50 2914.00 2711.75 2760.15

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