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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December S & P 500(CME) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   27 31 31 31 32 32 32 32 32 32 32
Closed Higher   17 20 21 20 20 17 14 19 15 20 21
Exceeded High   15 17 18 19 17 13 14 14 14 15 16
Scenario Percentage   88% 85% 86% 95% 85% 76% 100% 74% 93% 75% 76%
Avg Max Increase   6.08% 4.99% 6.33% 4.77% 4.48% 5.89% 4.08% 5.44% 6.12% 6.74% 2.87%
Max Increase   13.15% 10.77% 16.75% 12.49% 12.15% 13.41% 9.74% 19.72% 16.59% 13.00% 5.66%
Avg Days To Max Increase   18 15 17 15 18 17 17 13 21 13 10
Avg Max Decline   -0.87% -1.02% -1.46% -1.50% -1.65% -1.36% -2.21% -1.60% -2.57% -1.11% -0.55%
Max Decline   -5.09% -5.84% -6.03% -4.65% -5.27% -5.48% -5.54% -3.25% -9.45% -3.88% -1.43%
Avg Days to Max Decline   6 6 8 8 14 7 12 8 7 6 3
2013 Contract Condition   Yes Yes Yes Yes Yes   Yes   Yes Yes Yes
Action   Yes Yes Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   27 31 31 31 32 32 32 32 32 32 32
Closed Lower   10 11 10 11 12 15 18 12 17 12 11
Penetrated Low   9 7 7 5 11 9 14 9 11 5 4
Scenario Percentage   90% 64% 70% 45% 92% 60% 78% 75% 65% 42% 36%
Avg Max Decline   6.76% 7.39% 3.28% 5.49% 6.10% 10.09% 9.17% 8.06% 12.01% 8.95% 2.54%
Max Decline   19.09% 13.47% 4.26% 12.01% 27.76% 21.90% 23.21% 17.74% 44.45% 23.60% 4.83%
Avg Days To Max Decline   16 15 11 11 13 14 18 14 17 19 7
Avg Max Increase   -2.19% -1.07% -1.60% -1.65% -1.06% -1.89% -2.50% -3.76% -2.49% -2.29% -1.01%
Max Increase   -5.93% -6.26% -5.53% -2.77% -3.96% -3.62% -8.12% -11.95% -5.46% -4.23% -1.76%
Avg Days to Max Increase   4 7 6 6 6 6 8 13 9 10 3
2013 Contract Condition             Yes   Yes      
Action             No   No      
High 1421.90 1484.80 1508.90 1551.10 1580.70 1669.70 1642.50 1687.00 1699.40 1726.70 1773.10 1812.30
Low 1361.40 1425.20 1464.30 1482.20 1520.50 1564.70 1545.60 1591.90 1619.50 1624.60 1640.50 1736.30
Close/Last 1399.70 1473.20 1494.20 1549.90 1579.70 1617.20 1593.00 1674.20 1624.60 1674.30 1751.00 1804.10

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