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MRCI's ScenarioSM Study
ScenarioSM Study for December S & P 500(CME) as of Oct 31, 2004
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 17 21 21 21 22 22 22 22 22 22 22
Closed Higher 11 13 15 13 14 14 8 13 7 14 15
Exceeded High 9 10 12 13 12 11 8 9 7 11 11
Scenario Percentage 82% 77% 80% 100% 86% 79% 100% 69% 100% 79% 73%
Avg Max Increase 7.33% 5.50% 6.19% 5.09% 4.60% 5.29% 3.26% 5.20% 6.59% 7.24% 2.97%
Max Increase 13.15% 9.38% 13.98% 12.49% 12.15% 11.90% 6.06% 19.72% 16.59% 11.44% 4.35%
Avg Days To Max Increase 18 15 18 18 16 16 16 12 21 11 7
Avg Max Decline -1.19% -0.79% -1.70% -1.84% -1.11% -0.87% -2.30% -1.67% -2.98% -1.23% -0.60%
Max Decline -5.09% -2.00% -6.03% -4.65% -4.36% -4.23% -3.69% -3.25% -9.45% -3.88% -1.43%
Avg Days to Max Decline 4 7 8 11 9 6 11 9 6 6 3
2004 Contract Condition Yes Yes     Yes Yes   Yes Yes Yes Yes
Action Yes Yes     Yes No   Yes Yes Not Yet  
Copyright © 2003 Moore Research Center, Inc. All Rights Reserved.
Some data provided by Prophetfinance.com
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 17 21 21 21 22 22 22 22 22 22 22
Closed Lower 6 8 6 8 8 8 14 8 15 8 7
Penetrated Low 6 4 5 3 7 4 10 7 9 3 7
Scenario Percentage 100% 50% 83% 38% 88% 50% 71% 88% 60% 38% 100%
Avg Max Decline 4.64% 7.38% 2.94% 5.16% 6.54% 13.92% 9.18% 8.02% 10.03% 5.47% 9.17%
Max Decline 7.25% 13.47% 3.81% 12.01% 27.57% 21.70% 23.21% 17.74% 44.45% 9.94% 16.13%
Avg Days To Max Decline 19 16 9 14 16 21 19 16 18 19 19
Avg Max Increase -1.44% -2.35% -1.58% -1.64% -1.27% -2.05% -2.63% -4.44% -2.93% -1.83% -2.61%
Max Increase -3.38% -6.11% -5.53% -2.57% -3.42% -3.62% -8.12% -11.95% -5.46% -2.55% -6.25%
Avg Days to Max Increase 5 13 6 9 6 9 10 14 11 14 8
2004 Contract Condition     Yes Yes     Yes        
Action     Yes Yes     Yes        
High 1152.10 1154.10 1154.90 1146.40 1122.20 1145.50 1130.00 1110.20 1132.30 1143.70 1133.70
Low 1107.80 1121.70 1088.50 1104.80 1077.20 1114.70 1080.50 1061.50 1101.60 1089.50 1127.60
Close/Last 1128.10 1141.60 1122.20 1104.80 1120.00 1141.00 1101.50 1104.40 1114.90 1130.30 1130.80