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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June S & P 500(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   28 31 31 31 31 31 31 31 31 31 32
Closed Higher   12 20 15 19 21 24 21 19 21 20 20
Exceeded High   12 14 14 15 21 23 19 16 17 18 14
Scenario Percentage   100% 70% 93% 79% 100% 96% 90% 84% 81% 90% 70%
Avg Max Increase   4.21% 5.70% 5.73% 7.44% 5.57% 5.75% 5.94% 5.22% 6.76% 4.80% 2.61%
Max Increase   9.67% 19.35% 16.77% 13.74% 13.76% 12.67% 13.16% 10.75% 16.88% 12.31% 6.00%
Avg Days To Max Increase   19 14 18 21 17 16 18 17 18 12 9
Avg Max Decline   -1.67% -1.38% -2.23% -1.18% -1.62% -1.59% -1.17% -1.15% -1.65% -1.42% -0.37%
Max Decline   -5.57% -3.31% -9.21% -5.77% -5.55% -6.34% -5.18% -6.03% -5.91% -4.79% -1.53%
Avg Days to Max Decline   8 8 7 8 14 6 6 5 8 6 2
2013 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes Yes Yes Yes
Action   Yes Yes Yes   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   28 31 31 31 31 31 31 31 31 31 32
Closed Lower   16 11 16 11 10 7 10 12 10 11 11
Penetrated Low   12 9 10 5 6 4 9 7 7 5 7
Scenario Percentage   75% 82% 63% 45% 60% 57% 90% 58% 70% 45% 64%
Avg Max Decline   8.61% 7.89% 12.54% 9.48% 5.13% 10.18% 6.68% 7.36% 3.31% 4.98% 4.14%
Max Decline   21.10% 15.32% 42.85% 23.85% 15.58% 14.67% 19.01% 13.27% 4.41% 9.42% 8.38%
Avg Days To Max Decline   17 15 17 17 11 20 19 15 10 9 11
Avg Max Increase   -2.09% -3.39% -2.75% -2.18% -1.92% -3.22% -2.37% -1.14% -1.63% -1.75% -0.95%
Max Increase   -6.51% -12.09% -6.02% -3.72% -5.01% -6.30% -5.92% -6.13% -5.66% -2.96% -3.36%
Avg Days to Max Increase   7 12 10 9 5 14 8 9 6 6 3
2013 Contract Condition         Yes              
Action         Yes              
High 1339.60 1365.70 1400.50 1451.40 1453.00 1416.30 1435.50 1498.60 1522.00 1564.30 1594.00 1685.50
Low 1240.40 1302.30 1330.50 1376.90 1385.30 1329.50 1374.80 1437.30 1477.40 1495.40 1531.00 1576.20
Close/Last 1336.60 1353.70 1383.90 1420.40 1392.90 1401.10 1413.30 1486.80 1507.40 1562.70 1592.20 1629.00

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