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