MRCI's ScenarioSM Study

ScenarioSM Study for March S & P 500(CME) as of Jan 01, 2016
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		30	32	33	33	33	33	33	33	33	33	33
Closed Higher		20	19	16	14	21	16	21	23	25	21	21
Exceeded High		19	16	11	13	16	15	17	23	25	19	15
Scenario Percentage		95%	84%	69%	93%	76%	94%	81%	100%	100%	90%	71%
Avg Max Increase		4.68%	4.52%	6.36%	4.27%	5.09%	5.91%	7.34%	5.24%	5.37%	5.17%	3.14%
Max Increase		12.41%	12.17%	13.42%	9.71%	19.53%	16.68%	13.57%	13.40%	12.72%	11.24%	6.04%
Avg Days To Max Increase		15	18	19	17	15	19	20	17	16	14	12
Avg Max Decline		-1.41%	-1.57%	-1.32%	-2.10%	-2.02%	-2.55%	-1.46%	-1.82%	-1.90%	-1.30%	-0.86%
Max Decline		-4.82%	-5.33%	-5.52%	-5.51%	-9.06%	-9.43%	-5.70%	-5.53%	-6.31%	-5.15%	-2.38%
Avg Days to Max Decline		8	11	10	12	11	7	10	14	7	6	3
2015 Contract Condition		Yes	Yes	Yes		Yes		Yes	Yes			Yes
Action		Yes	Yes	Yes		Yes		Yes	Yes			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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		30	32	33	33	33	33	33	33	33	33	33
Closed Lower		10	13	17	19	12	17	12	10	8	12	12
Penetrated Low		5	12	11	15	9	11	5	6	4	8	6
Scenario Percentage		50%	92%	65%	79%	75%	65%	42%	60%	50%	67%	50%
Avg Max Decline		5.37%	6.26%	8.82%	8.71%	8.11%	12.42%	9.48%	5.21%	10.23%	6.46%	5.92%
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	18	14	17	17	11	20	13	10
Avg Max Increase		-1.46%	-1.11%	-1.71%	-2.31%	-3.48%	-2.44%	-2.18%	-2.05%	-3.43%	-2.12%	-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
2015 Contract Condition					Yes		Yes			Yes	Yes
Action					Yes		Yes			No	Not Yet
High	1855.30	1870.90	1899.30	1944.40	1969.30	1986.40	2001.90	2004.80	2065.10	2088.70	2067.00	2117.30
Low	1805.30	1786.60	1832.40	1890.90	1909.50	1885.40	1946.00	1806.00	1988.00	1960.40	1970.60	1974.00
Close/Last	1843.50	1855.60	1898.90	1937.10	1909.50	1985.90	1957.60	2003.70	2059.20	2052.40	1988.40	2102.80