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