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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, 2015
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   29 31 32 32 32 32 32 33 33 33 33
Closed Higher   19 22 25 20 20 22 21 21 18 14 20
Exceeded High   16 22 24 18 17 19 20 18 13 13 13
Scenario Percentage   84% 100% 96% 90% 85% 86% 95% 86% 72% 93% 65%
Avg Max Increase   7.33% 5.40% 5.54% 6.04% 5.03% 6.22% 4.86% 4.48% 5.80% 3.78% 2.61%
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 18 17 17 15 17 16 18 20 14 9
Avg Max Decline   -0.96% -1.57% -1.66% -1.05% -1.12% -1.57% -1.51% -1.69% -2.14% -2.42% -0.99%
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 7 5 4 9 8 11 12 13 3
2014 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes Yes   Yes
Action   Yes 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   29 31 32 32 32 32 32 33 33 33 33
Closed Lower   10 9 7 12 12 10 11 12 15 19 13
Penetrated Low   5 5 4 10 7 7 5 11 9 14 3
Scenario Percentage   50% 56% 57% 83% 58% 70% 45% 92% 60% 74% 23%
Avg Max Decline   9.48% 5.94% 10.24% 6.22% 7.37% 3.27% 5.55% 6.13% 10.46% 8.17% 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 17 15 10 11 14 15 13 11
Avg Max Increase   -2.21% -1.78% -3.12% -1.85% -1.07% -1.63% -1.70% -1.31% -2.02% -1.92% -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 7 8 6 6 6 7 5 4
2014 Contract Condition         Yes           Yes  
Action         Yes           Yes  
High 1702.80 1749.40 1792.20 1831.80 1831.70 1852.10 1869.60 1884.00 1914.40 1959.80 1985.60 2003.70
Low 1609.30 1623.30 1724.40 1749.50 1751.10 1719.30 1819.80 1801.30 1847.40 1905.90 1923.50 1890.50
Close/Last 1654.30 1731.10 1784.50 1828.30 1763.20 1843.80 1857.60 1870.50 1913.90 1952.40 1924.80 2001.40

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