MRCI's ScenarioSM Study

ScenarioSM Study for June S & P 500(CME) as of Jan 01, 2015
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		29	32	32	32	32	32	32	32	32	32	33
Closed Higher		13	20	16	20	22	25	21	20	22	21	21
Exceeded High		13	14	15	16	22	24	19	17	18	19	15
Scenario Percentage		100%	70%	94%	80%	100%	96%	90%	85%	82%	90%	71%
Avg Max Increase		4.12%	5.70%	5.91%	7.34%	5.43%	5.57%	5.94%	5.05%	6.55%	4.75%	2.54%
Max Increase		9.67%	19.35%	16.77%	13.74%	13.76%	12.67%	13.16%	10.75%	16.88%	11.98%	5.69%
Avg Days To Max Increase		19	14	18	21	18	17	18	16	18	12	10
Avg Max Decline		-1.79%	-1.38%	-2.21%	-1.13%	-1.64%	-1.77%	-1.17%	-1.17%	-1.74%	-1.41%	-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		9	8	7	8	14	7	6	5	9	6	2
2014 Contract Condition		Yes		Yes	Yes	Yes	Yes		Yes	Yes	Yes	Yes
Action		Yes		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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		29	32	32	32	32	32	32	32	32	32	33
Closed Lower		16	12	16	11	10	7	11	12	10	11	11
Penetrated Low		12	9	10	5	6	4	10	7	7	5	7
Scenario Percentage		75%	75%	63%	45%	60%	57%	91%	58%	70%	45%	64%
Avg Max Decline		8.61%	7.89%	12.54%	9.48%	5.13%	10.18%	6.26%	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	17	15	10	9	11
Avg Max Increase		-2.09%	-3.39%	-2.75%	-2.18%	-1.92%	-3.22%	-2.14%	-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	7	9	6	6	3
2014 Contract Condition			Yes					Yes
Action			No					Yes
High	1629.50	1673.90	1686.30	1711.50	1756.00	1799.00	1838.10	1838.00	1858.90	1877.20	1892.00	1922.00
Low	1532.40	1578.50	1606.30	1616.30	1629.90	1731.00	1755.90	1757.50	1725.90	1823.90	1803.60	1855.00
Close/Last	1579.60	1661.10	1611.50	1660.90	1737.70	1790.90	1834.50	1769.80	1850.60	1864.60	1877.90	1921.50