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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 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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   29 26 21 25 20 27 32 32 28 27 29
Exceeded High   24 22 20 20 17 23 28 30 25 23 23
Scenario Percentage   83% 85% 95% 80% 85% 85% 88% 94% 89% 85% 79%
Avg Max Increase   4.93% 4.73% 4.33% 4.97% 7.44% 6.35% 5.54% 5.55% 5.86% 5.15% 4.27%
Max Increase   12.91% 11.82% 9.39% 18.41% 20.54% 13.31% 12.74% 12.34% 13.54% 11.15% 10.56%
Avg Days To Max Increase   21 19 18 14 19 19 19 17 18 17 20
Avg Max Decline   -1.76% -1.75% -1.87% -1.49% -2.04% -1.32% -2.07% -1.76% -1.26% -1.24% -1.27%
Max Decline   -5.44% -7.48% -5.61% -3.43% -9.22% -5.41% -5.32% -6.36% -5.29% -5.82% -5.33%
Avg Days to Max Decline   15 11 10 7 5 9 17 6 8 6 3
2020 Contract Condition     Yes Yes   Yes Yes Yes Yes      
Action     Yes No   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   16 18 24 19 24 17 13 13 17 18 16
Penetrated Low   10 13 19 15 16 8 7 7 15 10 7
Scenario Percentage   63% 72% 79% 79% 67% 47% 54% 54% 88% 56% 44%
Avg Max Decline   7.23% 9.45% 9.00% 7.12% 9.08% 7.89% 4.94% 8.51% 5.93% 7.49% 2.62%
Max Decline   27.31% 21.62% 22.00% 16.65% 36.38% 23.51% 14.26% 13.50% 19.28% 16.04% 3.75%
Avg Days To Max Decline   15 17 19 16 14 14 10 16 13 16 13
Avg Max Increase   -1.92% -1.81% -1.89% -2.57% -1.91% -1.49% -1.39% -2.15% -1.53% -1.40% -1.52%
Max Increase   -6.59% -3.51% -7.73% -11.33% -4.51% -4.00% -5.63% -6.28% -5.93% -6.08% -5.02%
Avg Days to Max Increase   7 10 7 10 8 5 5 5 4 8 7
2020 Contract Condition   Yes     Yes         Yes    
Action   Yes     No         Not Yet    
High 2949.50 2954.25 2964.25 3028.00 3013.50 3022.00 3050.00 3154.25 3248.00 3337.75    
Low 2848.75 2750.50 2728.75 2952.25 2822.00 2891.75 2856.00 3050.75 3070.50 3214.75    
Close/Last 2945.75 2752.00 2941.75 2980.50 2926.50 2976.75 3037.50 3141.00 3230.75 3225.50    

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