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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 Jun 08, 2020
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   33 37 37 37 38 38 38 38 38 38 38
Closed Higher   20 25 25 26 25 22 19 23 18 23 27
Exceeded High   17 22 22 25 21 18 16 17 16 18 20
Scenario Percentage   85% 88% 88% 96% 84% 82% 84% 74% 89% 78% 74%
Avg Max Increase   6.01% 4.73% 5.73% 4.37% 4.38% 5.37% 4.03% 4.89% 6.07% 5.88% 2.63%
Max Increase   13.15% 10.77% 16.75% 12.51% 12.15% 13.42% 9.74% 19.67% 16.59% 12.95% 5.56%
Avg Days To Max Increase   17 16 18 16 19 18 19 16 22 13 10
Avg Max Decline   -0.79% -0.95% -1.40% -1.70% -1.64% -1.21% -1.96% -2.10% -2.51% -0.96% -0.73%
Max Decline   -5.09% -5.84% -5.97% -6.95% -5.25% -5.46% -5.53% -9.03% -9.45% -3.88% -2.35%
Avg Days to Max Decline   6 6 8 10 15 8 11 11 6 6 3
2019 Contract Condition   Yes Yes Yes Yes   Yes Yes   Yes Yes Yes
Action   Yes Yes Yes Yes   Yes No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   33 37 37 37 38 38 38 38 38 38 38
Closed Lower   13 12 12 11 13 16 19 14 20 14 11
Penetrated Low   12 7 8 5 12 10 15 9 13 7 4
Scenario Percentage   92% 58% 67% 45% 92% 63% 79% 64% 65% 50% 36%
Avg Max Decline   5.87% 7.40% 3.20% 5.50% 5.59% 10.15% 8.63% 8.06% 11.23% 7.95% 2.55%
Max Decline   19.10% 13.46% 4.25% 12.01% 27.76% 21.90% 23.21% 17.74% 44.44% 23.60% 4.85%
Avg Days To Max Decline   13 15 10 11 12 15 18 14 16 17 7
Avg Max Increase   -1.59% -1.07% -1.08% -1.64% -0.97% -2.06% -2.36% -3.76% -2.16% -2.52% -1.02%
Max Increase   -5.93% -6.25% -5.53% -2.77% -3.98% -3.80% -8.11% -11.96% -5.46% -4.24% -1.73%
Avg Days to Max Increase   4 7 6 6 6 8 8 13 11 10 3
2019 Contract Condition           Yes     Yes      
Action           Yes     No      
High 2820.50 2722.50 2811.75 2871.75 2959.00 2958.50 2960.50 3027.50 2954.00 3025.25 3054.50 3154.50
Low 2352.75 2459.50 2720.25 2761.00 2876.00 2757.50 2753.25 2969.00 2830.50 2895.00 2856.00 3033.50
Close/Last 2514.50 2722.50 2799.50 2846.50 2959.00 2757.50 2945.00 2985.25 2925.50 2978.50 3035.75 3143.75

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