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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for S & P 500 Stock 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 45 45 45 45 45 45 45 45 45 45 45
Closed Higher 26 23 30 31 25 25 19 26 20 26 30
Exceeded High 24 19 25 26 20 20 18 20 18 23 23
Scenario Percentage 92% 83% 83% 84% 80% 80% 95% 77% 90% 88% 77%
Avg Max Increase 5.60% 5.72% 6.39% 4.91% 5.13% 5.22% 4.76% 5.28% 6.95% 6.34% 3.43%
Max Increase 13.54% 11.08% 16.58% 12.57% 12.90% 13.07% 9.38% 18.33% 20.72% 13.32% 6.99%
Avg Days To Max Increase 18 18 17 16 19 19 18 13 19 18 16
Avg Max Decline -1.30% -0.58% -1.42% -1.50% -1.55% -1.78% -1.97% -1.44% -1.90% -1.16% -0.48%
Max Decline -5.29% -2.07% -5.27% -4.78% -5.42% -7.55% -5.62% -3.57% -9.22% -5.38% -2.30%
Avg Days to Max Decline 7 6 6 7 15 10 11 7 7 7 3
2010 Contract Condition   Yes Yes Yes     Yes   Yes Yes  
Action   Yes Yes No     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 45 45 45 45 45 45 45 45 45 45 45
Closed Lower 19 22 15 14 20 20 26 19 24 18 15
Penetrated Low 17 16 10 7 13 16 20 14 17 10 14
Scenario Percentage 89% 73% 67% 50% 65% 80% 77% 74% 71% 56% 93%
Avg Max Decline 6.06% 5.91% 4.42% 6.35% 6.71% 7.75% 8.45% 6.93% 8.58% 6.77% 13.96%
Max Decline 19.26% 16.11% 7.85% 14.97% 27.31% 21.63% 22.00% 16.66% 36.38% 23.51% 36.34%
Avg Days To Max Decline 15 15 17 18 17 18 19 16 15 13 12
Avg Max Increase -1.51% -1.24% -1.85% -2.10% -2.03% -1.89% -1.72% -2.94% -1.65% -0.91% -3.85%
Max Increase -5.95% -6.07% -5.08% -4.02% -6.64% -5.37% -7.69% -11.34% -4.50% -4.00% -10.65%
Avg Days to Max Increase 6 7 10 15 10 9 6 12 8 5 18
2010 Contract Condition Yes       Yes Yes   Yes     Yes
Action Yes       Yes Yes   No     Yes
High 1150.45 1112.40 1180.70 1219.80 1205.15 1131.25 1120.95 1129.25 1157.15 1196.15 1227.10
Low 1071.60 1044.50 1105.35 1170.70 1040.80 1028.35 1010.90 1039.70 1049.70 1131.85 1173.00
Close/Last 1073.85 1104.50 1169.45 1186.70 1089.40 1030.70 1101.60 1049.35 1141.20 1183.25 1180.55

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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!