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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, 2019
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   32 36 36 36 37 37 37 37 37 37 37
Closed Higher   19 24 24 25 25 21 18 23 17 23 26
Exceeded High   16 21 21 24 21 17 17 17 15 18 19
Scenario Percentage   84% 88% 88% 96% 84% 81% 94% 74% 88% 78% 73%
Avg Max Increase   6.05% 4.69% 5.81% 4.55% 4.38% 5.53% 3.81% 4.90% 6.09% 6.12% 2.69%
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   17 15 18 15 19 18 18 15 21 12 10
Avg Max Decline   -0.83% -0.92% -1.53% -1.49% -1.63% -1.33% -2.06% -1.98% -2.39% -1.03% -0.64%
Max Decline   -5.09% -5.84% -6.03% -4.65% -5.27% -5.48% -5.54% -9.02% -9.45% -3.88% -1.62%
Avg Days to Max Decline   6 5 8 9 15 8 11 10 7 6 3
2018 Contract Condition   Yes     Yes Yes Yes Yes Yes Yes   Yes
Action   No     Yes Yes Yes Yes Yes No   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   32 36 36 36 37 37 37 37 37 37 37
Closed Lower   13 12 12 11 12 16 19 13 20 14 11
Penetrated Low   12 7 8 5 11 10 15 9 13 7 4
Scenario Percentage   92% 58% 67% 45% 92% 63% 79% 69% 65% 50% 36%
Avg Max Decline   5.87% 7.39% 3.20% 5.49% 6.10% 10.17% 8.64% 8.06% 11.23% 8.18% 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 10 11 13 15 18 14 16 17 7
Avg Max Increase   -1.59% -1.07% -1.07% -1.65% -1.06% -2.03% -2.37% -3.76% -2.15% -2.51% -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 10 3
2018 Contract Condition     Yes Yes             Yes  
Action     No Yes             Yes  
High 2704.90 2890.70 2850.90 2814.30 2725.30 2748.80 2797.20 2851.90 2920.30 2946.10 2944.00 2817.80
Low 2622.00 2701.80 2556.30 2604.30 2583.60 2602.20 2698.10 2703.90 2800.00 2871.70 2604.50 2626.60
Close/Last 2684.90 2841.90 2732.50 2652.80 2655.80 2713.10 2724.90 2821.20 2906.50 2919.00 2711.10 2758.30

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