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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September S & P 500(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   28 30 31 31 31 31 31 32 32 32 32
Closed Higher   18 21 24 20 19 21 20 20 17 14 19
Exceeded High   15 21 23 18 16 18 19 17 12 13 13
Scenario Percentage   83% 100% 96% 90% 84% 86% 95% 85% 71% 93% 68%
Avg Max Increase   7.43% 5.53% 5.72% 6.04% 5.20% 6.40% 4.86% 4.53% 6.06% 3.93% 2.85%
Max Increase   13.89% 13.82% 12.33% 13.22% 10.71% 16.76% 12.53% 12.17% 13.44% 9.20% 5.66%
Avg Days To Max Increase   21 17 16 17 15 17 15 18 19 15 11
Avg Max Decline   -0.99% -1.55% -1.48% -1.05% -1.11% -1.49% -1.52% -1.76% -2.05% -2.42% -1.14%
Max Decline   -5.36% -5.48% -6.45% -5.10% -5.79% -5.91% -4.72% -5.26% -8.31% -5.54% -2.80%
Avg Days to Max Decline   7 14 6 5 5 9 8 12 10 13 3
2013 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   28 30 31 31 31 31 31 32 32 32 32
Closed Lower   10 9 7 11 12 10 11 12 15 18 13
Penetrated Low   5 5 4 9 7 7 5 11 9 13 3
Scenario Percentage   50% 56% 57% 82% 58% 70% 45% 92% 60% 72% 23%
Avg Max Decline   9.48% 5.94% 10.24% 6.63% 7.37% 3.27% 5.55% 6.13% 10.46% 8.79% 5.50%
Max Decline   24.17% 15.81% 14.84% 19.06% 13.25% 4.32% 12.34% 27.84% 22.10% 16.65% 10.58%
Avg Days To Max Decline   17 13 20 19 15 10 11 14 15 13 11
Avg Max Increase   -2.21% -1.78% -3.12% -2.33% -1.07% -1.63% -1.70% -1.31% -2.02% -2.02% -2.69%
Max Increase   -3.73% -4.90% -6.26% -5.98% -6.16% -5.74% -2.88% -4.15% -3.36% -8.20% -5.24%
Avg Days to Max Increase   9 6 14 8 8 6 6 6 7 5 4
2013 Contract Condition   Yes               Yes   Yes
Action   Yes               No   Not Yet
High 1445.40 1448.50 1409.80 1428.90 1491.80 1515.60 1557.70 1587.20 1678.00 1648.70 1695.50 1705.00
Low 1370.90 1378.80 1323.00 1368.40 1432.20 1471.00 1488.90 1527.00 1571.20 1553.50 1593.50 1625.00
Close/Last 1413.90 1386.40 1394.60 1406.70 1480.10 1500.90 1556.60 1586.20 1623.30 1599.30 1680.50 1631.30

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