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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 May 10, 2021
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   34 38 38 38 39 39 39 39 39 39 39
Closed Higher   20 25 25 27 26 23 20 24 18 23 28
Exceeded High   17 22 22 26 22 19 17 18 16 18 21
Scenario Percentage   85% 88% 88% 96% 85% 83% 85% 75% 89% 78% 75%
Avg Max Increase   6.01% 4.73% 5.73% 4.63% 4.52% 5.80% 4.36% 4.75% 6.07% 5.85% 2.56%
Max Increase   13.15% 10.77% 16.75% 12.51% 12.15% 13.44% 9.74% 19.67% 16.59% 12.95% 5.56%
Avg Days To Max Increase   17 16 18 15 19 19 18 15 22 12 9
Avg Max Decline   -0.79% -0.95% -1.40% -1.75% -1.61% -1.12% -1.80% -1.94% -2.51% -0.96% -0.67%
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 7 10 11 6 6 3
2020 Contract Condition         Yes Yes Yes Yes Yes     Yes
Action         Yes Yes Yes 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   34 38 38 38 39 39 39 39 39 39 39
Closed Lower   14 13 13 11 13 16 19 14 21 15 11
Penetrated Low   13 8 8 5 12 10 15 9 13 7 4
Scenario Percentage   93% 62% 62% 45% 92% 63% 79% 64% 62% 47% 36%
Avg Max Decline   7.84% 9.54% 3.20% 5.50% 5.59% 10.15% 8.63% 8.06% 11.23% 7.66% 2.55%
Max Decline   31.40% 24.52% 4.25% 12.01% 27.76% 21.90% 23.21% 17.74% 44.44% 23.60% 4.85%
Avg Days To Max Decline   14 16 10 11 12 15 18 14 16 16 7
Avg Max Increase   -1.85% -1.62% -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   5 7 6 6 6 8 8 13 11 10 3
2020 Contract Condition   Yes Yes Yes           Yes Yes  
Action   Yes Yes No           No Not Yet  
High 3242.75 3326.75 3388.50 3093.00 2926.25 3025.00 3208.00 3254.75 3494.00 3568.75 3534.00 3667.50
Low 3089.50 3228.00 2933.50 2214.25 2443.75 2798.75 2990.50 3092.75 3278.25 3200.25 3228.75 3246.00
Close/Last 3232.00 3228.00 2933.50 2564.50 2887.00 3025.00 3080.00 3253.00 3488.50 3352.00 3264.75 3623.25

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