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