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