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MRCI's ScenarioSM Study
ScenarioSM Study for S & P Midcap 400 Index as of Sep 30, 2006
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 24 25 25 25 25 25 25 25 25 25 25
Closed Higher 15 16 19 15 17 17 10 13 12 16 17
Exceeded High 14 15 15 13 15 14 10 9 10 14 16
Scenario Percentage 93% 94% 79% 87% 88% 82% 100% 69% 83% 88% 94%
Avg Max Increase 5.93% 6.15% 6.26% 7.24% 5.09% 5.53% 5.06% 4.72% 6.97% 7.54% 3.36%
Max Increase 13.42% 12.73% 15.90% 13.40% 12.75% 12.88% 12.40% 15.38% 17.53% 14.14% 6.58%
Avg Days To Max Increase 18 19 23 20 19 17 14 18 20 20 17
Avg Max Decline -0.52% -0.27% -1.58% -1.26% -1.01% -0.74% -1.68% -1.35% -2.86% -1.09% -0.45%
Max Decline -3.57% -2.85% -5.21% -4.59% -6.31% -6.04% -4.61% -3.68% -12.49% -4.63% -2.57%
Avg Days to Max Decline 6 9 11 6 9 7 8 9 9 8 6
2006 Contract Condition Yes   Yes Yes       Yes Yes    
Action Yes   Yes Yes       Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 24 25 25 25 25 25 25 25 25 25 25
Closed Lower 9 9 6 10 8 8 15 12 13 9 8
Penetrated Low 5 6 5 6 5 4 11 10 8 2 8
Scenario Percentage 56% 67% 83% 60% 63% 50% 73% 83% 62% 22% 100%
Avg Max Decline 6.74% 6.38% 4.49% 5.74% 9.16% 11.37% 9.84% 7.30% 8.93% 5.19% 17.74%
Max Decline 8.42% 13.04% 5.98% 12.80% 27.18% 21.36% 22.21% 19.49% 30.79% 9.42% 35.20%
Avg Days To Max Decline 16 17 21 23 23 20 17 16 17 19 13
Avg Max Increase -0.03% -2.23% -1.31% -2.02% -1.31% -0.12% -0.86% -3.95% -1.24% -1.41% -5.21%
Max Increase -0.65% -3.52% -2.43% -4.67% -3.40% -0.85% -5.15% -13.39% -2.96% -2.43% -11.44%
Avg Days to Max Increase 1 9 6 16 9 6 9 14 7 4 22
2006 Contract Condition   Yes     Yes Yes Yes        
Action   No     Yes Yes No        
High 781.75 784.50 795.50 813.30 818.85 783.00 770.45 756.35 762.45    
Low 732.55 755.85 756.05 779.15 740.20 713.10 710.55 721.30 731.45    
Close/Last 781.00 773.60 792.10 802.70 765.55 764.85 742.50 749.95 754.25