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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, 2018
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   32 34 35 35 35 35 35 36 36 36 36
Closed Higher   21 25 26 21 23 24 24 24 20 17 22
Exceeded High   18 24 25 19 20 21 23 21 15 14 14
Scenario Percentage   86% 96% 96% 90% 87% 88% 96% 88% 75% 82% 64%
Avg Max Increase   6.86% 5.21% 5.56% 6.02% 4.85% 5.87% 4.61% 4.24% 5.53% 3.28% 2.19%
Max Increase   13.89% 13.82% 12.33% 13.22% 10.71% 16.76% 12.53% 12.17% 13.44% 6.47% 5.60%
Avg Days To Max Increase   21 18 17 16 15 18 16 19 19 12 8
Avg Max Decline   -0.96% -1.65% -1.57% -1.01% -0.99% -1.55% -1.51% -1.83% -1.97% -1.54% -0.99%
Max Decline   -5.36% -5.48% -6.45% -5.10% -5.79% -5.91% -4.72% -5.26% -8.31% -3.49% -2.80%
Avg Days to Max Decline   9 14 7 5 4 9 10 14 11 8 3
2017 Contract Condition     Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
Action     Yes 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   32 34 35 35 35 35 35 36 36 36 36
Closed Lower   11 9 9 14 12 11 11 12 16 19 14
Penetrated Low   6 5 5 12 7 7 5 11 10 13 3
Scenario Percentage   55% 56% 56% 86% 58% 64% 45% 92% 63% 68% 21%
Avg Max Decline   8.23% 5.94% 10.48% 5.76% 7.37% 3.27% 5.55% 6.13% 10.50% 7.69% 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   15 13 18 15 15 10 11 14 16 11 8
Avg Max Increase   -1.88% -1.78% -2.25% -1.70% -1.07% -1.63% -1.70% -1.31% -2.17% -1.79% -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   8 6 12 6 8 6 6 6 8 4 4
2017 Contract Condition   Yes                    
Action   Yes                    
High 2164.00 2147.90 2196.80 2260.20 2286.70 2363.00 2393.20 2391.50 2415.00 2451.00 2480.00 2488.00
Low 2098.30 2094.20 2062.60 2170.80 2240.10 2257.80 2316.00 2321.40 2350.00 2403.00 2405.80 2416.50
Close/Last 2145.60 2104.40 2183.10 2226.10 2265.00 2355.20 2356.30 2378.00 2408.40 2420.90 2468.00 2470.10

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