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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for S & P Midcap 400 Index as of Jun 01, 2011
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 29 30 30 30 30 30 30 30 30 30 30
Closed Higher 17 19 23 20 20 18 12 17 16 19 20
Exceeded High 16 18 19 17 18 15 12 12 14 16 19
Scenario Percentage 94% 95% 83% 85% 90% 83% 100% 71% 88% 84% 95%
Avg Max Increase 5.59% 6.59% 7.06% 6.87% 4.96% 6.22% 5.87% 5.45% 6.68% 7.84% 3.87%
Max Increase 13.42% 15.51% 20.63% 13.40% 12.75% 15.77% 13.08% 15.38% 17.53% 14.14% 8.53%
Avg Days To Max Increase 19 21 22 17 18 18 15 18 19 21 18
Avg Max Decline -0.66% -0.93% -1.47% -1.25% -1.50% -1.14% -1.97% -1.72% -2.54% -1.12% -0.44%
Max Decline -3.57% -9.28% -5.21% -4.59% -6.33% -6.76% -6.71% -3.68% -12.49% -4.63% -2.57%
Avg Days to Max Decline 6 9 9 5 11 7 10 9 7 7 5
2010 Contract Condition   Yes Yes Yes     Yes   Yes Yes Yes
Action   Yes Yes No     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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 29 30 30 30 30 30 30 30 30 30 30
Closed Lower 12 11 7 10 10 12 18 13 14 11 10
Penetrated Low 7 7 5 6 7 8 13 10 9 4 9
Scenario Percentage 58% 64% 71% 60% 70% 67% 72% 77% 64% 36% 90%
Avg Max Decline 8.13% 7.10% 4.49% 5.74% 8.88% 8.89% 9.71% 7.30% 12.84% 10.00% 17.43%
Max Decline 20.20% 13.04% 5.98% 12.80% 27.18% 21.36% 22.21% 19.49% 44.12% 28.50% 35.20%
Avg Days To Max Decline 13 15 21 23 20 16 18 16 17 15 13
Avg Max Increase -1.48% -1.91% -1.31% -2.02% -1.68% -0.64% -1.16% -3.95% -1.10% -1.78% -5.41%
Max Increase -7.14% -3.52% -2.43% -4.67% -3.40% -3.48% -5.15% -13.39% -2.96% -2.65% -11.44%
Avg Days to Max Increase 2 8 6 16 10 5 9 14 6 3 21
2010 Contract Condition Yes       Yes Yes   Yes      
Action Yes       Yes Yes   No      
High 755.90 742.55 800.75 852.90 836.45 785.00 783.00 780.10 811.70 836.75 864.00
Low 702.35 681.90 738.35 789.85 714.70 710.70 692.75 709.20 721.55 791.00 823.50
Close/Last 702.80 738.35 789.90 823.05 762.75 711.75 760.25 721.65 802.10 829.15 852.60

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Newsflash

For those who "research their trades" via historical daily charts, Research Director Nick Colley wants
to give you a taste of enhancements forthcoming to the Traders Desk
Reference (TDR) section of the MRCI web site.  Click on the following
address and you will be directed to the test section for Soybeans:

http://www.mrci.com/client/tdr/s/index.php

Remember this is only a test section, but it is intended to be the model
for all other futures.  You can use the "mouse-over" function, the table
includes seasonal patterns, weekly and monthly contract continuation
charts, and by clicking on the year in the "History Range" row, a table
will appear with each year in the data base.  Click again and find the
daily chart for that contract for that year.  Enjoy!