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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 Mar 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   26 21 25 20 27 32 32 28 27 29 31
Exceeded High   22 20 20 17 23 28 30 25 23 24 26
Scenario Percentage   85% 95% 80% 85% 85% 88% 94% 89% 85% 83% 84%
Avg Max Increase   4.73% 4.33% 4.97% 7.44% 6.35% 5.54% 5.55% 5.86% 5.15% 6.24% 3.34%
Max Increase   11.82% 9.39% 18.41% 20.54% 13.31% 12.74% 12.34% 13.54% 11.15% 16.61% 6.59%
Avg Days To Max Increase   19 18 14 19 19 19 17 18 17 16 17
Avg Max Decline   -1.75% -1.87% -1.49% -2.04% -1.32% -2.07% -1.76% -1.26% -1.24% -1.58% -1.21%
Max Decline   -7.48% -5.61% -3.43% -9.22% -5.41% -5.32% -6.36% -5.29% -5.82% -5.33% -3.71%
Avg Days to Max Decline   11 10 7 5 9 17 6 8 6 6 4
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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   18 24 19 24 17 13 13 17 18 16 12
Penetrated Low   13 19 15 16 8 7 7 15 10 8 5
Scenario Percentage   72% 79% 79% 67% 47% 54% 54% 88% 56% 50% 42%
Avg Max Decline   9.45% 9.00% 7.12% 9.08% 7.89% 4.94% 8.51% 5.93% 7.49% 3.23% 3.69%
Max Decline   21.62% 22.00% 16.65% 36.38% 23.51% 14.26% 13.50% 19.28% 16.04% 4.44% 7.58%
Avg Days To Max Decline   17 19 16 14 14 10 16 13 16 13 15
Avg Max Increase   -1.81% -1.89% -2.57% -1.91% -1.49% -1.39% -2.15% -1.53% -1.40% -1.60% -1.36%
Max Increase   -3.51% -7.73% -11.33% -4.51% -4.00% -5.63% -6.28% -5.93% -6.08% -5.02% -1.85%
Avg Days to Max Increase   10 7 10 8 5 5 5 4 8 7 3
2020 Contract Condition       Yes         Yes Yes Yes  
Action       No         Yes Yes    
High 2954.25 2964.25 3028.00 3013.50 3022.00 3050.00 3154.25 3248.00 3337.75 3393.50 3136.50  
Low 2750.50 2728.75 2952.25 2822.00 2891.75 2856.00 3050.75 3070.50 3214.75 2855.75 2191.75  
Close/Last 2752.00 2941.75 2980.50 2926.50 2976.75 3037.50 3141.00 3230.75 3225.50 2954.25 2626.75  

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