MRCI's ScenarioSM Study

ScenarioSM Study for June S & P 500(CME) as of Jan 21, 2022
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		36	39	39	39	39	39	39	39	39	39	40
Closed Higher		19	25	19	24	29	29	24	25	26	28	27
Exceeded High		17	18	17	20	27	28	21	22	22	26	20
Scenario Percentage		89%	72%	89%	83%	93%	97%	88%	88%	85%	93%	74%
Avg Max Increase		4.19%	4.95%	5.89%	6.76%	5.44%	5.60%	5.91%	5.18%	6.10%	4.49%	2.48%
Max Increase		9.76%	19.25%	16.77%	13.77%	13.70%	12.67%	13.11%	10.77%	16.89%	11.80%	6.20%
Avg Days To Max Increase		19	15	20	21	18	17	17	17	17	11	9
Avg Max Decline		-1.56%	-1.64%	-2.13%	-0.99%	-1.61%	-1.53%	-1.10%	-1.15%	-1.54%	-1.63%	-0.40%
Max Decline		-5.55%	-9.02%	-9.20%	-5.79%	-5.54%	-6.37%	-5.18%	-6.02%	-5.91%	-4.79%	-1.50%
Avg Days to Max Decline		9	9	6	9	13	7	6	5	8	6	2
2021 Contract Condition		Yes	Yes			Yes	Yes		Yes	Yes	Yes	Yes
Action		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		36	39	39	39	39	39	39	39	39	39	40
Closed Lower		17	14	20	14	10	10	15	14	12	11	12
Penetrated Low		13	9	12	7	6	5	13	8	8	5	8
Scenario Percentage		76%	64%	60%	50%	60%	50%	87%	57%	67%	45%	67%
Avg Max Decline		8.03%	7.88%	11.41%	9.05%	5.13%	10.40%	7.86%	9.71%	3.32%	4.98%	3.72%
Max Decline		21.09%	15.32%	42.86%	23.85%	15.58%	14.67%	32.55%	26.18%	4.42%	9.42%	8.38%
Avg Days To Max Decline		16	15	16	16	11	18	16	16	9	9	9
Avg Max Increase		-1.98%	-3.39%	-2.33%	-2.15%	-1.92%	-2.34%	-2.17%	-1.72%	-1.42%	-1.76%	-0.87%
Max Increase		-6.51%	-12.09%	-6.02%	-3.90%	-5.00%	-6.29%	-5.92%	-6.13%	-5.69%	-2.95%	-3.37%
Avg Days to Max Increase		7	12	10	8	5	12	7	9	6	6	3
2021 Contract Condition				Yes	Yes			Yes
Action				No	No			No
High	3192.00	3234.75	3471.75	3546.75	3511.50	3617.75	3738.50	3838.25	3920.75	3977.50	4208.00	4237.00
Low	2978.00	3081.00	3258.00	3211.50	3242.75	3281.25	3629.50	3682.00	3755.75	3755.50	3965.50	4029.75
Close/Last	3070.75	3231.25	3467.50	3334.00	3245.50	3604.25	3738.50	3695.25	3799.00	3967.50	4174.50	4202.50