MRCI's ScenarioSM Study

ScenarioSM Study for March S & P 500(CME) as of Oct 20, 2019
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		34	36	37	37	37	37	37	37	37	37	37
Closed Higher		24	23	19	18	24	18	23	27	27	24	24
Exceeded High		23	19	14	16	18	16	19	25	27	20	18
Scenario Percentage		96%	83%	74%	89%	75%	89%	83%	93%	100%	83%	75%
Avg Max Increase		4.47%	4.44%	6.06%	3.95%	4.86%	5.90%	6.92%	5.36%	5.48%	5.04%	2.70%
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		15	20	19	18	16	20	20	18	17	10	8
Avg Max Decline		-1.42%	-1.63%	-1.20%	-1.96%	-1.90%	-2.37%	-1.34%	-1.75%	-1.76%	-1.19%	-0.73%
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		9	14	9	11	11	7	10	13	6	6	2
2019 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes		Yes		Yes	Yes
Action		Yes	Yes	Yes	Yes	Yes	No		No		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		34	36	37	37	37	37	37	37	37	37	37
Closed Lower		10	13	18	19	13	19	14	10	10	13	13
Penetrated Low		5	12	12	15	9	12	7	6	5	9	6
Scenario Percentage		50%	92%	67%	79%	69%	63%	50%	60%	50%	69%	46%
Avg Max Decline		5.37%	6.26%	8.95%	8.71%	8.11%	11.70%	9.16%	5.21%	10.46%	6.47%	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	18	14	16	16	11	18	13	8
Avg Max Increase		-1.46%	-1.11%	-1.85%	-2.31%	-3.48%	-2.25%	-2.15%	-2.05%	-2.81%	-1.94%	-0.45%
Max Increase		-2.76%	-3.93%	-3.52%	-8.05%	-12.00%	-5.50%	-3.90%	-5.32%	-6.55%	-6.12%	-2.25%
Avg Days to Max Increase		6	6	8	8	12	10	8	7	12	4	3
2019 Contract Condition								Yes		Yes
Action								Yes		No
High	2819.40	2728.90	2754.80	2804.40	2858.90	2926.40	2954.10	2940.30	2823.20	2798.30	2712.30	2813.70
Low	2611.00	2589.00	2608.00	2703.90	2710.20	2806.80	2878.80	2649.20	2634.70	2317.10	2439.00	2681.00
Close/Last	2659.80	2660.60	2719.30	2731.20	2828.10	2913.80	2927.50	2717.30	2763.50	2505.20	2704.50	2784.70