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| MRCI's ScenarioSM Study |
| ScenarioSM Study for September S & P 500(CME) as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
20 |
22 |
23 |
23 |
23 |
23 |
23 |
24 |
24 |
24 |
24 |
| Closed Higher |
14 |
16 |
18 |
15 |
15 |
15 |
13 |
16 |
15 |
9 |
14 |
| Exceeded High |
13 |
15 |
17 |
13 |
12 |
12 |
13 |
14 |
10 |
9 |
9 |
| Scenario Percentage |
93% |
94% |
94% |
87% |
80% |
80% |
100% |
88% |
67% |
100% |
64% |
| Avg Max Increase |
7.58% |
5.69% |
5.69% |
6.63% |
4.94% |
6.31% |
5.17% |
4.46% |
5.43% |
2.84% |
2.31% |
| Max Increase |
13.89% |
13.82% |
12.33% |
13.22% |
9.38% |
14.02% |
12.53% |
12.17% |
11.83% |
6.01% |
5.60% |
| Avg Days To Max Increase |
23 |
16 |
16 |
15 |
13 |
18 |
18 |
17 |
18 |
12 |
7 |
| Avg Max Decline |
-0.94% |
-1.89% |
-2.09% |
-1.32% |
-0.70% |
-1.82% |
-1.97% |
-1.09% |
-1.65% |
-2.06% |
-0.87% |
| Max Decline |
-5.36% |
-5.48% |
-6.45% |
-5.10% |
-1.90% |
-5.91% |
-4.72% |
-4.32% |
-8.31% |
-3.75% |
-2.02% |
| Avg Days to Max Decline |
7 |
15 |
6 |
4 |
4 |
10 |
11 |
10 |
10 |
10 |
2 |
| 2005 Contract Condition |
Yes |
Yes |
Yes |
|
Yes |
|
|
Yes |
|
Yes |
|
| Action |
Yes |
Yes |
No |
|
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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
20 |
22 |
23 |
23 |
23 |
23 |
23 |
24 |
24 |
24 |
24 |
| Closed Lower |
6 |
6 |
5 |
8 |
8 |
8 |
10 |
8 |
9 |
15 |
10 |
| Penetrated Low |
3 |
4 |
3 |
6 |
4 |
7 |
4 |
7 |
5 |
10 |
8 |
| Scenario Percentage |
50% |
67% |
60% |
75% |
50% |
88% |
40% |
88% |
56% |
67% |
80% |
| Avg Max Decline |
6.23% |
3.47% |
8.29% |
4.72% |
7.63% |
3.20% |
4.43% |
6.56% |
11.27% |
7.58% |
19.20% |
| Max Decline |
13.12% |
5.21% |
9.04% |
7.73% |
13.25% |
3.92% |
11.90% |
27.68% |
21.93% |
16.65% |
33.72% |
| Avg Days To Max Decline |
16 |
11 |
19 |
21 |
17 |
10 |
13 |
16 |
18 |
12 |
18 |
| Avg Max Increase |
-1.88% |
-1.57% |
-3.97% |
-1.59% |
-2.14% |
-1.61% |
-1.67% |
-1.47% |
-1.92% |
-1.77% |
-3.59% |
| Max Increase |
-2.69% |
-4.90% |
-5.78% |
-3.78% |
-6.16% |
-5.74% |
-2.70% |
-3.36% |
-3.27% |
-8.20% |
-9.17% |
| Avg Days to Max Increase |
13 |
5 |
18 |
10 |
13 |
6 |
8 |
6 |
7 |
4 |
9 |
| 2005 Contract Condition |
|
|
|
Yes |
|
Yes |
Yes |
|
Yes |
|
Yes |
| Action |
|
|
|
Yes |
|
Yes |
No |
|
Yes |
|
Yes |
| High |
1149.50 |
1194.40 |
1225.70 |
1214.80 |
1221.50 |
1235.10 |
1200.40 |
1205.50 |
1225.20 |
1248.00 |
1248.40 |
| Low |
1100.10 |
1136.80 |
1187.40 |
1174.50 |
1193.90 |
1174.10 |
1144.20 |
1152.00 |
1192.50 |
1186.50 |
1201.70 |
| Close/Last |
1136.20 |
1184.10 |
1222.20 |
1190.10 |
1213.70 |
1189.10 |
1163.10 |
1197.40 |
1195.50 |
1236.80 |
1221.40 |
|
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