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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, 2019
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   33 35 36 36 36 36 36 37 37 37 37
Closed Higher   22 26 27 22 23 24 25 25 21 18 23
Exceeded High   19 25 26 19 20 21 24 22 16 16 15
Scenario Percentage   86% 96% 96% 86% 87% 88% 96% 88% 76% 89% 65%
Avg Max Increase   6.76% 5.35% 5.64% 6.02% 4.85% 5.87% 4.65% 4.28% 5.64% 3.56% 2.70%
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   20 19 17 16 15 18 16 19 20 16 12
Avg Max Decline   -0.94% -1.63% -1.49% -1.01% -0.99% -1.55% -1.53% -1.78% -1.90% -2.23% -1.13%
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   9 13 7 5 4 9 10 15 11 12 4
2018 Contract Condition   Yes Yes Yes Yes     Yes Yes Yes Yes Yes
Action   Yes Yes Yes No     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   33 35 36 36 36 36 36 37 37 37 37
Closed Lower   11 9 9 14 13 12 11 12 16 19 14
Penetrated Low   6 5 5 12 7 8 5 11 10 14 3
Scenario Percentage   55% 56% 56% 86% 54% 67% 45% 92% 63% 74% 21%
Avg Max Decline   8.23% 5.94% 10.48% 5.76% 7.37% 3.18% 5.55% 6.13% 10.50% 8.49% 6.52%
Max Decline   24.17% 15.81% 14.84% 19.06% 13.25% 4.32% 12.34% 27.84% 22.10% 19.32% 13.62%
Avg Days To Max Decline   15 13 18 15 15 9 11 14 16 13 12
Avg Max Increase   -1.88% -1.78% -2.25% -1.70% -1.07% -1.10% -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   8 6 12 6 8 6 6 6 8 5 4
2018 Contract Condition           Yes Yes          
Action           No Yes          
High 2515.30 2580.50 2662.80 2702.90 2885.30 2845.50 2809.20 2721.30 2744.80 2795.50 2849.00 2917.30
Low 2447.30 2525.00 2558.20 2620.00 2698.80 2551.40 2598.50 2579.10 2598.70 2693.60 2698.90 2791.30
Close/Last 2514.70 2573.40 2652.90 2681.90 2836.50 2726.70 2647.80 2651.50 2709.80 2721.60 2817.10 2902.10

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