MRCI's ScenarioSM Study

ScenarioSM Study for September S & P 500(CME) as of Jan 21, 2022
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		36	38	39	39	39	39	39	40	40	40	40
Closed Higher		23	29	29	23	25	26	28	27	23	21	25
Exceeded High		20	27	28	20	22	23	27	24	18	18	15
Scenario Percentage		87%	93%	97%	87%	88%	88%	96%	89%	78%	86%	60%
Avg Max Increase		6.76%	5.41%	5.58%	6.01%	5.16%	5.82%	4.68%	4.49%	6.12%	3.66%	2.37%
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	16	18	17	20	21	12	8
Avg Max Decline		-0.85%	-1.55%	-1.45%	-0.96%	-1.01%	-1.32%	-1.84%	-1.85%	-1.65%	-1.53%	-0.87%
Max Decline		-5.38%	-5.48%	-6.46%	-5.09%	-5.78%	-5.85%	-7.35%	-5.25%	-8.33%	-3.77%	-2.82%
Avg Days to Max Decline		9	13	8	5	5	8	11	15	10	9	2
2021 Contract Condition			Yes	Yes		Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action			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		36	38	39	39	39	39	39	40	40	40	40
Closed Lower		13	9	10	15	14	13	11	12	15	19	15
Penetrated Low		7	5	5	13	8	8	5	11	9	14	3
Scenario Percentage		54%	56%	50%	87%	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%	7.54%	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
2021 Contract Condition		Yes			Yes
Action		No			No
High	3535.25	3498.50	3600.50	3729.75	3827.50	3910.25	3957.25	4193.50	4215.50	4293.25	4416.00	4541.25
Low	3201.00	3232.25	3270.00	3613.75	3670.25	3745.75	3745.25	3999.50	4048.75	4127.75	4251.25	4348.50
Close/Last	3323.00	3232.50	3584.75	3729.75	3684.75	3790.00	3957.25	4164.50	4192.50	4288.50	4389.50	4520.50