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