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| MRCI's ScenarioSM Study |
| ScenarioSM Study for S & P 500 Stock 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 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
31 |
25 |
25 |
19 |
27 |
20 |
26 |
30 |
32 |
26 |
23 |
| Exceeded High |
27 |
20 |
20 |
18 |
21 |
18 |
23 |
27 |
30 |
24 |
19 |
| Scenario Percentage |
87% |
80% |
80% |
95% |
78% |
90% |
88% |
90% |
94% |
92% |
83% |
| Avg Max Increase |
4.77% |
5.13% |
5.22% |
4.83% |
5.33% |
6.70% |
6.11% |
5.76% |
4.86% |
5.57% |
4.08% |
| Max Increase |
12.57% |
12.90% |
13.07% |
9.38% |
18.33% |
20.72% |
13.32% |
12.74% |
12.32% |
13.54% |
6.90% |
| Avg Days To Max Increase |
16 |
19 |
19 |
18 |
13 |
19 |
17 |
18 |
15 |
16 |
16 |
| Avg Max Decline |
-1.44% |
-1.55% |
-1.78% |
-1.65% |
-1.37% |
-1.86% |
-1.14% |
-1.80% |
-1.63% |
-1.30% |
-0.38% |
| Max Decline |
-4.78% |
-5.42% |
-7.55% |
-4.23% |
-3.57% |
-9.22% |
-5.38% |
-5.32% |
-6.33% |
-5.29% |
-2.07% |
| Avg Days to Max Decline |
7 |
15 |
10 |
9 |
7 |
7 |
7 |
16 |
6 |
7 |
3 |
| 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 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
14 |
20 |
20 |
26 |
18 |
24 |
18 |
15 |
13 |
19 |
22 |
| Penetrated Low |
7 |
13 |
15 |
20 |
14 |
17 |
10 |
10 |
8 |
17 |
19 |
| Scenario Percentage |
50% |
65% |
75% |
77% |
78% |
71% |
56% |
67% |
62% |
89% |
86% |
| Avg Max Decline |
6.35% |
6.75% |
8.14% |
8.45% |
6.93% |
8.58% |
6.77% |
4.90% |
7.69% |
6.05% |
13.70% |
| Max Decline |
14.97% |
27.31% |
21.63% |
22.00% |
16.66% |
36.38% |
23.51% |
14.25% |
13.50% |
19.26% |
38.94% |
| Avg Days To Max Decline |
18 |
19 |
19 |
19 |
16 |
15 |
13 |
11 |
20 |
15 |
13 |
| Avg Max Increase |
-2.10% |
-1.67% |
-1.99% |
-1.72% |
-2.94% |
-1.65% |
-0.91% |
-0.72% |
-2.13% |
-1.51% |
-2.35% |
| Max Increase |
-4.02% |
-6.64% |
-5.37% |
-7.69% |
-11.34% |
-4.50% |
-4.00% |
-5.64% |
-6.28% |
-5.95% |
-15.19% |
| Avg Days to Max Increase |
15 |
8 |
10 |
6 |
12 |
8 |
5 |
7 |
5 |
6 |
11 |
| 2010 Contract Condition |
|
|
|
|
|
|
Yes |
|
|
Yes |
|
| Action |
|
|
|
|
|
|
No |
|
|
Yes |
|
| High |
888.70 |
930.15 |
956.25 |
996.70 |
1039.45 |
1080.15 |
1101.35 |
1113.70 |
1130.40 |
1150.45 |
1112.40 |
| Low |
783.30 |
866.10 |
888.85 |
869.30 |
978.50 |
991.95 |
1019.95 |
1029.40 |
1085.90 |
1071.60 |
1044.50 |
| Close/Last |
872.80 |
919.15 |
919.30 |
987.50 |
1020.60 |
1057.10 |
1036.20 |
1095.65 |
1115.10 |
1073.85 |
1104.50 |
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