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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 Dec 30, 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   31 34 34 34 34 34 34 34 34 34 35
Closed Higher   14 21 16 22 24 25 21 22 23 23 23
Exceeded High   13 15 15 18 23 24 19 19 19 21 16
Scenario Percentage   93% 71% 94% 82% 96% 96% 90% 86% 83% 91% 70%
Avg Max Increase   4.12% 5.38% 5.91% 6.86% 5.26% 5.57% 5.94% 5.04% 6.34% 4.47% 2.32%
Max Increase   9.67% 19.35% 16.77% 13.74% 13.76% 12.67% 13.16% 10.75% 16.88% 11.80% 5.69%
Avg Days To Max Increase   19 15 18 21 18 17 18 17 18 11 7
Avg Max Decline   -1.79% -1.89% -2.21% -1.12% -1.76% -1.77% -1.17% -1.19% -1.71% -1.37% -0.38%
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 9 14 7 6 5 9 5 2
2016 Contract Condition   Yes     Yes Yes       Yes Yes Yes
Action   No     Yes No       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   31 34 34 34 34 34 34 34 34 34 35
Closed Lower   17 13 18 11 10 9 13 12 11 11 11
Penetrated Low   13 9 11 5 6 5 12 7 7 5 7
Scenario Percentage   76% 69% 61% 45% 60% 56% 92% 58% 64% 45% 64%
Avg Max Decline   8.04% 7.89% 12.10% 9.48% 5.13% 10.41% 5.80% 7.36% 3.31% 4.98% 4.10%
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 18 15 15 10 9 10
Avg Max Increase   -1.97% -3.39% -2.53% -2.18% -1.92% -2.34% -1.94% -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 12 6 9 6 6 3
2016 Contract Condition     Yes Yes     Yes Yes Yes      
Action     No No     Yes Yes No      
High 2101.80 2104.60 2087.40 1979.60 2071.80 2096.40 2088.10 2004.70 1950.20 2064.00 2105.00 2103.60
Low 2028.00 2018.60 1823.90 1845.60 1869.10 2001.50 1981.00 1799.20 1798.80 1939.00 2026.50 2022.30
Close/Last 2036.60 2080.00 1947.90 1892.90 2059.20 2065.90 2028.60 1921.90 1920.30 2051.50 2059.10 2094.90

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