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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 Oct 20, 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   34 36 37 37 37 37 37 38 38 38 38
Closed Higher   22 27 27 23 24 25 26 25 22 19 23
Exceeded High   19 25 26 20 21 22 25 22 17 16 15
Scenario Percentage   86% 93% 96% 87% 88% 88% 96% 88% 77% 84% 65%
Avg Max Increase   6.76% 5.35% 5.64% 6.00% 4.89% 5.79% 4.48% 4.28% 5.47% 3.55% 2.58%
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% -0.97% -1.01% -1.43% -1.76% -1.78% -1.76% -2.23% -1.13%
Max Decline   -5.36% -5.48% -6.45% -5.10% -5.79% -5.91% -7.36% -5.26% -8.31% -5.54% -2.80%
Avg Days to Max Decline   9 13 7 5 5 9 11 15 10 12 4
2019 Contract Condition     Yes   Yes Yes Yes Yes   Yes Yes  
Action     No   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   34 36 37 37 37 37 37 38 38 38 38
Closed Lower   12 9 10 14 13 12 11 13 16 19 15
Penetrated Low   7 5 5 12 7 8 5 12 10 14 3
Scenario Percentage   58% 56% 50% 86% 54% 67% 45% 92% 63% 74% 20%
Avg Max Decline   9.09% 5.94% 10.48% 5.76% 7.37% 3.18% 5.55% 5.68% 10.50% 8.29% 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   16 13 18 15 15 9 11 13 16 13 11
Avg Max Increase   -2.17% -1.78% -2.25% -1.70% -1.07% -1.10% -1.70% -1.23% -2.17% -1.92% -2.69%
Max Increase   -3.90% -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   7 6 12 6 8 6 6 6 8 5 4
2019 Contract Condition   Yes   Yes         Yes     Yes
Action   Yes   No         Yes     Not Yet
High 2967.30 2960.90 2842.80 2813.10 2715.30 2806.90 2867.60 2955.00 2953.40 2968.00 3029.00 3013.70
Low 2890.10 2667.60 2652.60 2347.20 2453.90 2713.70 2756.30 2872.00 2756.10 2737.00 2955.50 2776.30
Close/Last 2948.40 2736.10 2780.70 2510.50 2715.30 2794.40 2842.50 2954.30 2756.10 2944.20 2982.30 2924.80

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