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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, 2016
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   30 32 33 33 33 33 33 34 34 34 34
Closed Higher   20 23 25 20 21 22 22 22 18 15 20
Exceeded High   17 23 24 18 18 19 21 19 13 13 13
Scenario Percentage   85% 100% 96% 90% 86% 86% 95% 86% 72% 87% 65%
Avg Max Increase   7.15% 5.23% 5.54% 6.04% 4.81% 6.22% 4.75% 4.32% 5.80% 3.71% 2.57%
Max Increase   13.89% 13.82% 12.33% 13.22% 10.71% 16.76% 12.53% 12.17% 13.44% 8.57% 5.66%
Avg Days To Max Increase   22 18 17 17 15 17 16 19 20 14 9
Avg Max Decline   -1.01% -1.70% -1.66% -1.05% -1.23% -1.57% -1.47% -1.76% -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   10 14 7 5 5 9 8 13 12 13 3
2015 Contract Condition   Yes Yes     Yes   Yes Yes   Yes  
Action   Yes Yes     Yes   Yes Yes   Not Yet  
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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   30 32 33 33 33 33 33 34 34 34 34
Closed Lower   10 9 8 13 12 11 11 12 16 19 14
Penetrated Low   5 5 4 11 7 7 5 11 10 14 3
Scenario Percentage   50% 56% 50% 85% 58% 64% 45% 92% 63% 74% 21%
Avg Max Decline   9.48% 5.94% 10.24% 5.70% 7.37% 3.27% 5.55% 6.13% 10.50% 7.71% 3.56%
Max Decline   24.17% 15.81% 14.84% 19.06% 13.25% 4.32% 12.34% 27.84% 22.10% 16.65% 5.43%
Avg Days To Max Decline   17 13 20 16 15 10 11 14 16 12 8
Avg Max Increase   -2.21% -1.78% -3.12% -1.82% -1.07% -1.63% -1.70% -1.31% -2.17% -1.92% -2.69%
Max Increase   -3.73% -4.90% -6.26% -5.98% -6.16% -5.74% -2.88% -4.15% -3.46% -8.20% -5.24%
Avg Days to Max Increase   9 6 14 7 8 6 6 6 8 5 4
2015 Contract Condition       Yes Yes   Yes     Yes   Yes
Action       No Yes   No     Yes   Not Yet
High 1988.20 1990.20 2052.80 2075.00 2053.00 2102.10 2099.60 2112.00 2123.90 2121.50 2125.50 2106.70
Low 1934.00 1793.80 1974.80 1951.10 1969.70 1962.50 2024.30 2034.00 2055.00 2047.50 2035.00 1831.00
Close/Last 1943.70 1989.10 2045.20 2039.00 1973.50 2088.40 2053.30 2071.50 2098.50 2054.40 2098.40 1969.20

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