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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March S & P 500(CME) 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   28 30 31 31 31 31 31 31 31 31 31
Closed Higher   18 17 15 13 20 15 19 21 24 21 19
Exceeded High   17 14 10 12 15 14 15 21 24 18 14
Scenario Percentage   94% 82% 67% 92% 75% 93% 79% 100% 100% 86% 74%
Avg Max Increase   4.62% 4.59% 6.74% 4.38% 5.37% 5.75% 7.65% 5.54% 5.54% 5.06% 2.85%
Max Increase   12.41% 12.17% 13.42% 9.71% 19.53% 16.68% 13.57% 13.40% 12.72% 10.65% 4.68%
Avg Days To Max Increase   14 18 18 16 14 18 19 16 15 11 9
Avg Max Decline   -1.45% -1.45% -1.18% -2.00% -1.55% -2.60% -1.48% -1.65% -1.74% -1.25% -0.72%
Max Decline   -4.82% -5.33% -5.52% -5.51% -4.25% -9.43% -5.70% -5.53% -6.31% -5.15% -2.38%
Avg Days to Max Decline   9 11 7 10 9 7 7 14 6 6 2
2013 Contract Condition       Yes Yes Yes Yes   Yes Yes Yes Yes
Action       Yes Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   28 30 31 31 31 31 31 31 31 31 31
Closed Lower   10 13 16 18 11 16 12 10 7 10 12
Penetrated Low   5 12 11 14 9 10 5 6 4 7 6
Scenario Percentage   50% 92% 69% 78% 82% 63% 42% 60% 57% 70% 50%
Avg Max Decline   5.37% 6.26% 8.82% 9.24% 8.11% 12.89% 9.48% 5.21% 10.23% 7.03% 5.46%
Max Decline   12.05% 28.08% 22.15% 23.47% 17.95% 45.02% 23.73% 15.93% 15.02% 19.06% 9.33%
Avg Days To Max Decline   11 14 15 19 14 17 17 11 20 15 8
Avg Max Increase   -1.46% -1.11% -1.71% -2.43% -3.48% -2.66% -2.18% -2.05% -3.43% -2.37% -0.45%
Max Increase   -2.76% -3.93% -3.52% -8.05% -12.00% -5.50% -3.73% -5.32% -6.55% -6.12% -2.25%
Avg Days to Max Increase   6 6 7 8 12 10 9 7 14 5 3
2013 Contract Condition   Yes Yes         Yes        
Action   Yes Yes         Yes        
High 1396.50 1398.50 1392.60 1346.00 1372.60 1407.30 1458.50 1457.00 1423.40 1445.80 1505.90 1530.00
Low 1315.10 1334.20 1271.30 1246.80 1308.70 1337.40 1384.10 1392.40 1336.50 1384.00 1438.80 1482.00
Close/Last 1384.50 1374.60 1289.70 1343.00 1360.60 1391.10 1427.40 1400.00 1407.80 1420.10 1493.30 1513.30

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