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