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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 Oct 20, 2019
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   34 37 37 37 37 37 37 37 37 37 38
Closed Higher   17 24 18 23 27 27 24 24 25 26 25
Exceeded High   16 17 16 19 25 26 21 21 21 24 18
Scenario Percentage   94% 71% 89% 83% 93% 96% 88% 88% 84% 92% 72%
Avg Max Increase   3.83% 5.10% 5.90% 6.76% 5.37% 5.66% 5.91% 4.92% 6.06% 4.37% 2.46%
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   20 16 19 20 19 17 17 17 18 12 10
Avg Max Decline   -1.71% -1.78% -2.05% -1.09% -1.70% -1.58% -1.11% -1.15% -1.62% -1.43% -0.34%
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 9 7 10 13 7 6 5 9 6 2
2019 Contract Condition   Yes Yes Yes   Yes   Yes Yes Yes Yes  
Action   Yes Yes No   No   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   34 37 37 37 37 37 37 37 37 37 38
Closed Lower   17 13 19 13 10 10 13 13 12 11 12
Penetrated Low   13 9 12 7 6 5 12 7 8 5 8
Scenario Percentage   76% 69% 63% 54% 60% 50% 92% 54% 67% 45% 67%
Avg Max Decline   8.04% 7.89% 11.41% 9.06% 5.13% 10.41% 5.80% 7.36% 3.32% 4.98% 3.73%
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 16 16 11 18 15 15 9 9 10
Avg Max Increase   -1.97% -3.39% -2.32% -2.15% -1.92% -2.34% -1.94% -1.14% -1.42% -1.75% -0.88%
Max Increase   -6.51% -12.09% -6.02% -3.89% -5.01% -6.30% -5.92% -6.13% -5.66% -2.96% -3.36%
Avg Days to Max Increase   7 12 10 8 5 12 6 9 6 6 3
2019 Contract Condition         Yes   Yes         Yes
Action         Yes   No         Yes
High 2814.50 2864.90 2934.70 2963.90 2950.20 2832.80 2804.00 2709.80 2802.30 2864.20 2955.80 2960.80
Low 2710.20 2716.50 2814.60 2887.10 2658.10 2642.60 2344.20 2450.90 2690.50 2727.90 2841.10 2750.00
Close/Last 2737.50 2835.90 2922.10 2937.70 2726.60 2771.50 2508.50 2709.80 2789.90 2837.80 2948.50 2752.60

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