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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March S & P 500(CME) as of Sep 10, 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 |
25 |
27 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
| Closed Higher |
16 |
17 |
14 |
11 |
19 |
13 |
17 |
19 |
21 |
18 |
16 |
| Exceeded High |
16 |
14 |
10 |
10 |
14 |
13 |
14 |
19 |
21 |
16 |
12 |
| Scenario Percentage |
100% |
82% |
71% |
91% |
74% |
100% |
82% |
100% |
100% |
89% |
75% |
| Avg Max Increase |
4.84% |
4.55% |
6.64% |
4.02% |
5.38% |
5.59% |
7.69% |
5.20% |
5.16% |
4.98% |
3.21% |
| Max Increase |
12.41% |
12.17% |
13.42% |
9.71% |
19.53% |
16.68% |
13.57% |
13.40% |
12.72% |
11.01% |
6.04% |
| Avg Days To Max Increase |
14 |
17 |
17 |
15 |
15 |
19 |
18 |
14 |
14 |
13 |
11 |
| Avg Max Decline |
-1.43% |
-1.39% |
-0.94% |
-1.68% |
-1.56% |
-2.73% |
-1.50% |
-1.82% |
-2.09% |
-1.47% |
-0.69% |
| Max Decline |
-4.82% |
-5.33% |
-5.52% |
-3.97% |
-4.25% |
-9.43% |
-5.70% |
-5.53% |
-6.31% |
-5.15% |
-1.89% |
| Avg Days to Max Decline |
9 |
11 |
6 |
9 |
12 |
7 |
7 |
14 |
6 |
5 |
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 |
25 |
27 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
| Closed Lower |
9 |
10 |
14 |
17 |
9 |
15 |
11 |
9 |
7 |
10 |
12 |
| Penetrated Low |
4 |
9 |
9 |
13 |
8 |
9 |
4 |
6 |
4 |
7 |
9 |
| Scenario Percentage |
44% |
90% |
64% |
76% |
89% |
60% |
36% |
67% |
57% |
70% |
75% |
| Avg Max Decline |
3.89% |
6.21% |
8.45% |
8.80% |
7.62% |
13.65% |
10.72% |
5.21% |
10.23% |
7.03% |
14.48% |
| Max Decline |
10.62% |
25.94% |
19.83% |
23.47% |
17.95% |
45.02% |
23.73% |
15.93% |
15.02% |
19.06% |
36.62% |
| Avg Days To Max Decline |
13 |
16 |
17 |
19 |
16 |
19 |
17 |
11 |
20 |
15 |
18 |
| Avg Max Increase |
-1.36% |
-1.32% |
-1.69% |
-2.52% |
-3.82% |
-2.87% |
-2.31% |
-2.05% |
-3.38% |
-2.34% |
-2.26% |
| Max Increase |
-2.56% |
-3.41% |
-3.52% |
-8.05% |
-12.00% |
-5.50% |
-3.73% |
-5.32% |
-6.38% |
-6.12% |
-8.48% |
| Avg Days to Max Increase |
8 |
5 |
8 |
9 |
14 |
11 |
11 |
7 |
14 |
5 |
9 |
| 2010 Contract Condition |
|
|
|
|
|
|
Yes |
|
|
Yes |
|
| Action |
|
|
|
|
|
|
No |
|
|
Yes |
|
| High |
872.20 |
917.40 |
942.20 |
986.50 |
1029.10 |
1070.90 |
1093.70 |
1106.30 |
1128.20 |
1147.90 |
1112.70 |
| Low |
770.30 |
853.00 |
877.00 |
857.20 |
967.20 |
983.80 |
1010.80 |
1021.00 |
1081.00 |
1066.70 |
1041.00 |
| Close/Last |
860.00 |
905.50 |
907.30 |
976.10 |
1010.80 |
1048.40 |
1028.00 |
1089.90 |
1110.70 |
1070.40 |
1103.40 |
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