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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 May 10, 2021
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   36 38 39 39 39 39 39 39 39 39 39
Closed Higher   26 24 21 20 25 19 23 28 29 24 25
Exceeded High   24 20 16 16 19 16 19 25 29 21 19
Scenario Percentage   92% 83% 76% 80% 76% 84% 83% 89% 100% 88% 76%
Avg Max Increase   4.75% 4.60% 6.32% 4.54% 4.72% 6.10% 6.79% 5.37% 5.47% 5.06% 3.09%
Max Increase   12.42% 12.16% 13.42% 9.81% 19.58% 16.69% 13.48% 13.34% 12.70% 11.03% 6.03%
Avg Days To Max Increase   14 20 20 18 15 20 21 18 17 12 11
Avg Max Decline   -1.48% -1.61% -0.98% -1.90% -1.76% -2.31% -1.22% -1.81% -1.77% -1.24% -0.87%
Max Decline   -4.78% -5.33% -5.51% -5.51% -9.06% -9.42% -5.69% -5.52% -6.35% -5.15% -2.39%
Avg Days to Max Decline   9 13 8 11 10 6 10 13 7 6 3
2021 Contract Condition   Yes Yes Yes Yes Yes     Yes Yes   Yes
Action   Yes Yes Yes Yes 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   36 38 39 39 39 39 39 39 39 39 39
Closed Lower   10 14 16 19 14 20 15 10 10 15 14
Penetrated Low   5 13 10 15 9 12 7 6 5 11 7
Scenario Percentage   50% 93% 63% 79% 64% 60% 47% 60% 50% 73% 50%
Avg Max Decline   5.36% 5.80% 10.14% 8.71% 8.11% 11.70% 9.15% 5.20% 10.46% 7.69% 7.67%
Max Decline   12.05% 28.09% 22.16% 23.47% 17.95% 45.03% 23.73% 15.92% 15.03% 25.05% 18.12%
Avg Days To Max Decline   13 13 15 18 14 16 16 11 18 12 11
Avg Max Increase   -1.74% -1.00% -1.99% -2.31% -3.47% -2.24% -2.16% -2.05% -2.81% -2.23% -1.28%
Max Increase   -3.77% -3.92% -3.36% -8.05% -12.01% -5.50% -3.90% -5.31% -6.54% -6.11% -6.27%
Avg Days to Max Increase   10 5 8 8 12 10 8 5 12 5 3
2021 Contract Condition             Yes Yes     Yes  
Action             No No     Yes  
High 3085.25 2920.00 3020.25 3201.00 3248.75 3484.25 3560.25 3524.00 3628.00 3748.75 3858.75 3958.00
Low 2211.00 2443.00 2793.25 2983.00 3085.25 3269.00 3223.00 3253.75 3290.75 3596.75 3674.00 3659.25
Close/Last 2563.75 2881.00 3020.25 3074.00 3242.25 3480.00 3343.50 3254.75 3614.75 3748.75 3705.25 3809.25

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