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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for S & P 100(OEX) as of May 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   33 33 33 33 34 34 34 34 34 34 34
Closed Higher   19 23 21 21 18 22 19 21 19 15 22
Exceeded High   17 20 19 17 15 17 18 19 14 13 17
Scenario Percentage   89% 87% 90% 81% 83% 77% 95% 90% 74% 87% 77%
Avg Max Increase   14.10% 9.18% 6.49% 393.78% 5.01% 6.37% 5.22% 6.47% 12.37% 4.46% 8.16%
Max Increase   131.91% 75.44% 13.38% 5621.63% 10.82% 14.38% 12.10% 37.88% 63.49% 8.42% 93.80%
Avg Days To Max Increase   19 16 16 18 18 17 17 21 18 15 16
Avg Max Decline   -2.34% -1.79% -3.86% -10.15% -1.21% -1.73% -7.30% -3.78% -3.00% -1.50% -3.91%
Max Decline   -16.41% -5.32% -32.48% -90.81% -4.03% -5.15% -99.66% -40.09% -13.45% -4.32% -47.49%
Avg Days to Max Decline   9 15 8 7 8 9 10 13 9 9 5
2010 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   33 33 33 33 34 34 34 34 34 34 34
Closed Lower   14 10 12 12 16 12 14 13 15 19 12
Penetrated Low   6 4 8 10 12 8 7 8 10 14 6
Scenario Percentage   43% 40% 67% 83% 75% 67% 50% 62% 67% 74% 50%
Avg Max Decline   21.51% 26.23% 30.17% 8.91% 13.63% 15.03% 17.54% 7.18% 15.55% 20.05% 6.74%
Max Decline   98.63% 96.88% 95.64% 38.13% 99.39% 99.63% 96.90% 27.26% 86.90% 89.01% 16.87%
Avg Days To Max Decline   12 11 16 18 18 17 18 15 17 18 20
Avg Max Increase   -3.20% -25.72% -16.60% -4.71% -1.78% -3.30% -14.33% -1.56% -8.57% -14.97% -1.92%
Max Increase   -9.63% -100.36% -107.33% -30.60% -5.91% -10.31% -90.59% -3.67% -73.48% -119.37% -5.05%
Avg Days to Max Increase   2 5 6 8 8 11 7 6 11 8 5
2010 Contract Condition   Yes     Yes       Yes Yes    
Action   No     Yes       Not Yet      
High 499.01 509.00 517.88 520.48 530.74 510.11 541.09 554.78 548.50 496.12    
Low 461.95 472.75 479.01 504.54 494.09 481.80 506.47 535.13 473.58 485.79    
Close/Last 488.35 482.31 510.74 514.09 495.09 506.06 534.90 540.28 493.06 486.24    

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