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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 Nov 09, 2020
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   35 37 38 38 38 38 38 39 39 39 39
Closed Higher   23 28 28 23 24 25 27 26 22 20 24
Exceeded High   20 26 27 20 21 22 26 23 17 17 14
Scenario Percentage   87% 93% 96% 87% 88% 88% 96% 88% 77% 85% 58%
Avg Max Increase   6.76% 5.36% 5.61% 6.01% 4.89% 5.79% 4.74% 4.45% 6.13% 3.75% 2.63%
Max Increase   13.92% 13.86% 12.33% 13.20% 10.70% 16.78% 12.55% 12.19% 14.04% 9.87% 5.68%
Avg Days To Max Increase   21 18 17 16 15 18 16 20 20 14 9
Avg Max Decline   -0.85% -1.64% -1.44% -0.96% -1.01% -1.43% -1.81% -1.86% -1.69% -2.12% -0.93%
Max Decline   -5.38% -5.48% -6.46% -5.09% -5.78% -5.85% -7.35% -5.25% -8.33% -5.53% -2.82%
Avg Days to Max Decline   9 13 8 5 5 8 11 15 10 12 2
2020 Contract Condition   Yes Yes Yes       Yes Yes Yes Yes Yes
Action   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   35 37 38 38 38 38 38 39 39 39 39
Closed Lower   12 9 10 14 14 13 11 12 15 19 15
Penetrated Low   7 5 5 13 8 8 5 11 9 14 3
Scenario Percentage   58% 56% 50% 93% 57% 62% 45% 92% 60% 74% 20%
Avg Max Decline   9.11% 5.95% 10.49% 7.74% 9.53% 3.18% 5.55% 5.84% 10.64% 7.70% 3.59%
Max Decline   24.17% 15.82% 14.85% 31.35% 24.69% 4.32% 12.35% 27.85% 22.10% 16.65% 5.42%
Avg Days To Max Decline   16 13 18 16 16 9 11 12 17 12 8
Avg Max Increase   -2.16% -1.79% -2.25% -1.95% -1.62% -1.10% -1.68% -1.29% -2.04% -1.92% -2.69%
Max Increase   -3.90% -4.89% -6.27% -5.97% -6.16% -5.66% -2.87% -4.15% -3.46% -8.16% -5.24%
Avg Days to Max Increase   7 6 12 7 8 5 6 5 8 5 4
2020 Contract Condition         Yes Yes Yes          
Action         Yes Yes No          
High 3012.00 3048.75 3155.00 3243.75 3326.50 3387.50 3098.50 2932.50 3031.75 3216.75 3284.00 3524.25
Low 2906.00 2881.50 3064.00 3092.25 3224.00 2938.75 2213.25 2445.00 2804.25 2924.50 3063.50 3255.25
Close/Last 2979.75 3036.75 3145.00 3231.00 3224.00 2938.75 2566.50 2894.00 3031.75 3090.25 3263.50 3499.00

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