MRCI's ScenarioSM Study

ScenarioSM Study for December S & P 500(CME) as of Dec 30, 2016
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		30	34	34	34	35	35	35	35	35	35	35
Closed Higher		17	23	23	23	23	19	16	21	15	22	24
Exceeded High		15	20	20	22	19	15	15	15	14	17	18
Scenario Percentage		88%	87%	87%	96%	83%	79%	94%	71%	93%	77%	75%
Avg Max Increase		6.08%	4.85%	5.98%	4.58%	4.42%	5.60%	3.88%	5.16%	6.12%	6.05%	2.56%
Max Increase		13.15%	10.77%	16.75%	12.49%	12.15%	13.41%	9.74%	19.72%	16.59%	11.44%	4.35%
Avg Days To Max Increase		18	16	18	15	19	18	18	14	21	11	8
Avg Max Decline		-0.87%	-1.02%	-1.53%	-1.47%	-1.77%	-1.42%	-2.15%	-2.09%	-2.57%	-1.06%	-0.58%
Max Decline		-5.09%	-5.84%	-6.03%	-4.65%	-5.27%	-5.48%	-5.54%	-9.02%	-9.45%	-3.88%	-1.43%
Avg Days to Max Decline		6	6	8	8	14	9	12	10	7	6	3
2016 Contract Condition				Yes	Yes	Yes	Yes	Yes	Yes			Yes
Action				Yes	Yes	Yes	Yes	Yes	No			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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		30	34	34	34	35	35	35	35	35	35	35
Closed Lower		13	11	11	11	12	16	19	13	20	13	11
Penetrated Low		12	7	7	5	11	10	15	9	13	6	4
Scenario Percentage		92%	64%	64%	45%	92%	63%	79%	69%	65%	46%	36%
Avg Max Decline		5.87%	7.39%	3.28%	5.49%	6.10%	10.17%	8.64%	8.06%	11.23%	8.01%	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		13	15	11	11	13	15	18	14	16	16	7
Avg Max Increase		-1.59%	-1.07%	-1.60%	-1.65%	-1.06%	-2.03%	-2.37%	-3.76%	-2.15%	-2.07%	-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	8	8	13	11	5	3
2016 Contract Condition		Yes	Yes							Yes	Yes
Action		Yes	No							Yes	Yes
High	2076.00	1993.00	1935.40	2047.70	2089.50	2086.90	2102.30	2163.10	2183.80	2179.00	2164.00	2213.40
Low	1972.80	1786.50	1785.00	1945.00	2013.10	2007.40	1974.30	2060.60	2133.70	2100.30	2108.00	2028.50
Close/Last	2017.10	1908.70	1905.50	2036.60	2044.50	2080.10	2081.70	2160.60	2162.30	2160.40	2120.10	2198.80