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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 Dec 30, 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   31 33 34 34 34 34 34 34 34 34 34
Closed Higher   21 20 16 15 21 16 22 24 25 21 22
Exceeded High   20 16 11 13 16 15 18 23 25 19 16
Scenario Percentage   95% 80% 69% 87% 76% 94% 82% 96% 100% 90% 73%
Avg Max Increase   4.58% 4.52% 6.36% 4.27% 5.09% 5.91% 7.04% 5.24% 5.37% 5.05% 3.07%
Max Increase   12.41% 12.17% 13.42% 9.71% 19.53% 16.68% 13.57% 13.40% 12.72% 11.01% 5.15%
Avg Days To Max Increase   15 18 19 17 15 19 19 17 16 12 10
Avg Max Decline   -1.38% -1.57% -1.32% -2.10% -2.02% -2.55% -1.38% -1.82% -1.90% -1.30% -0.78%
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 9 14 7 6 2
2016 Contract Condition   Yes Yes   Yes     Yes Yes      
Action   Yes No   No     Yes No      
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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   31 33 34 34 34 34 34 34 34 34 34
Closed Lower   10 13 18 19 13 18 12 10 9 13 12
Penetrated Low   5 12 12 15 9 11 5 6 5 9 6
Scenario Percentage   50% 92% 67% 79% 69% 61% 42% 60% 56% 69% 50%
Avg Max Decline   5.37% 6.26% 8.95% 8.71% 8.11% 12.42% 9.48% 5.21% 10.46% 6.47% 5.74%
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 18 13 9
Avg Max Increase   -1.46% -1.11% -1.85% -2.31% -3.48% -2.44% -2.18% -2.05% -2.81% -1.94% -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 8 8 12 10 9 7 12 4 3
2016 Contract Condition       Yes   Yes Yes     Yes Yes Yes
Action       Yes   No No     Yes Yes Not Yet
High 2088.00 2099.00 2111.30 2106.40 2109.80 2092.60 1986.10 2078.80 2103.30 2094.90 2042.40 1968.70
Low 2012.80 2022.60 2043.40 2032.60 2023.40 1829.30 1853.10 1875.60 2008.20 1983.50 1804.50 1803.50
Close/Last 2041.90 2059.30 2085.70 2041.20 2085.20 1954.40 1900.40 2066.10 2072.70 2035.40 1930.10 1929.50

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