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| MRCI's ScenarioSM Study |
| ScenarioSM Study for S & P Midcap 400 Index as of Sep 07, 2010 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
30 |
| Closed Higher |
19 |
20 |
18 |
11 |
17 |
15 |
18 |
19 |
21 |
17 |
19 |
| Exceeded High |
17 |
18 |
15 |
11 |
12 |
13 |
15 |
18 |
20 |
16 |
15 |
| Scenario Percentage |
89% |
90% |
83% |
100% |
71% |
87% |
83% |
95% |
95% |
94% |
79% |
| Avg Max Increase |
6.87% |
4.96% |
6.22% |
5.79% |
5.45% |
6.60% |
8.17% |
6.25% |
5.79% |
5.56% |
4.67% |
| Max Increase |
13.40% |
12.75% |
15.77% |
13.08% |
15.38% |
17.53% |
17.44% |
13.67% |
17.05% |
13.42% |
12.73% |
| Avg Days To Max Increase |
17 |
18 |
18 |
14 |
18 |
19 |
22 |
18 |
15 |
19 |
21 |
| Avg Max Decline |
-1.25% |
-1.50% |
-1.14% |
-1.54% |
-1.72% |
-2.63% |
-1.15% |
-1.17% |
-2.07% |
-0.66% |
-0.13% |
| Max Decline |
-4.59% |
-6.33% |
-6.76% |
-4.61% |
-3.68% |
-12.49% |
-4.63% |
-5.65% |
-7.86% |
-3.57% |
-2.85% |
| Avg Days to Max Decline |
5 |
11 |
7 |
9 |
9 |
7 |
7 |
15 |
5 |
6 |
4 |
| 2010 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
| Action |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
30 |
| Closed Lower |
10 |
9 |
11 |
18 |
12 |
14 |
11 |
10 |
7 |
12 |
11 |
| Penetrated Low |
6 |
6 |
7 |
13 |
10 |
9 |
4 |
3 |
6 |
7 |
10 |
| Scenario Percentage |
60% |
67% |
64% |
72% |
83% |
64% |
36% |
30% |
86% |
58% |
91% |
| Avg Max Decline |
5.74% |
8.83% |
9.78% |
9.71% |
7.30% |
12.84% |
10.00% |
7.62% |
8.21% |
8.13% |
21.54% |
| Max Decline |
12.80% |
27.18% |
21.36% |
22.21% |
19.49% |
44.12% |
28.50% |
15.04% |
14.79% |
20.20% |
32.57% |
| Avg Days To Max Decline |
23 |
23 |
19 |
18 |
16 |
17 |
15 |
11 |
17 |
13 |
18 |
| Avg Max Increase |
-2.02% |
-1.47% |
-0.70% |
-1.16% |
-3.95% |
-1.10% |
-1.78% |
-1.45% |
-1.33% |
-1.48% |
-2.20% |
| Max Increase |
-4.67% |
-3.40% |
-3.48% |
-5.15% |
-13.39% |
-2.96% |
-2.65% |
-3.97% |
-4.23% |
-7.14% |
-3.79% |
| Avg Days to Max Increase |
16 |
8 |
6 |
9 |
14 |
6 |
3 |
4 |
4 |
2 |
12 |
| 2010 Contract Condition |
|
|
|
|
|
|
Yes |
|
|
Yes |
|
| Action |
|
|
|
|
|
|
Yes |
|
|
Yes |
|
| High |
574.30 |
589.90 |
604.25 |
633.25 |
669.35 |
710.20 |
717.75 |
713.75 |
743.15 |
755.90 |
742.55 |
| Low |
476.40 |
540.85 |
551.15 |
539.05 |
626.95 |
633.40 |
657.15 |
651.80 |
684.75 |
702.35 |
681.90 |
| Close/Last |
561.15 |
575.50 |
578.15 |
628.05 |
654.55 |
691.00 |
659.15 |
684.75 |
726.65 |
702.80 |
738.35 |
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