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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, 2016
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   30 33 33 33 33 33 33 33 33 33 34
Closed Higher   13 21 16 21 23 25 21 21 22 22 22
Exceeded High   13 15 15 17 23 24 19 18 18 20 15
Scenario Percentage   100% 71% 94% 81% 100% 96% 90% 86% 82% 91% 68%
Avg Max Increase   4.12% 5.38% 5.91% 7.16% 5.26% 5.57% 5.94% 4.83% 6.55% 4.64% 2.53%
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 15 18 22 18 17 18 17 18 12 9
Avg Max Decline   -1.79% -1.89% -2.21% -1.18% -1.76% -1.77% -1.17% -1.28% -1.74% -1.39% -0.37%
Max Decline   -5.57% -9.01% -9.21% -5.77% -5.55% -6.34% -5.18% -6.03% -5.91% -4.79% -1.53%
Avg Days to Max Decline   9 10 7 10 14 7 6 6 9 6 2
2015 Contract Condition     Yes   Yes Yes     Yes   Yes Yes
Action     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   30 33 33 33 33 33 33 33 33 33 34
Closed Lower   17 12 17 11 10 8 12 12 11 11 11
Penetrated Low   13 9 11 5 6 4 11 7 7 5 7
Scenario Percentage   76% 75% 65% 45% 60% 50% 92% 58% 64% 45% 64%
Avg Max Decline   8.04% 7.89% 12.10% 9.48% 5.13% 10.18% 5.74% 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   16 15 17 17 11 20 16 15 10 9 11
Avg Max Increase   -1.97% -3.39% -2.53% -2.18% -1.92% -3.22% -2.08% -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
2015 Contract Condition   Yes   Yes     Yes Yes   Yes    
Action   Yes   Yes     No Yes   No    
High 1938.10 1962.60 1979.50 1994.80 1997.10 2059.70 2081.60 2059.30 2108.80 2107.00 2119.00 2133.70
Low 1884.60 1902.80 1878.70 1940.60 1800.60 1981.70 1957.70 1976.00 1969.70 2031.50 2036.70 2057.30
Close/Last 1930.60 1902.80 1979.00 1950.30 1996.00 2051.90 2045.30 1980.70 2095.10 2060.80 2078.90 2106.00

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