|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December S & P 500(CME) as of Apr 04, 2008 |
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 |
21 |
25 |
25 |
25 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Higher |
14 |
16 |
17 |
15 |
17 |
15 |
10 |
16 |
11 |
17 |
18 |
| Exceeded High |
12 |
13 |
14 |
15 |
15 |
11 |
10 |
12 |
11 |
13 |
14 |
| Scenario Percentage |
86% |
81% |
82% |
100% |
88% |
73% |
100% |
75% |
100% |
76% |
78% |
| Avg Max Increase |
5.96% |
4.64% |
5.97% |
4.72% |
4.19% |
5.29% |
3.14% |
5.24% |
5.82% |
6.73% |
2.63% |
| 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 |
17 |
13 |
18 |
16 |
17 |
16 |
15 |
12 |
20 |
10 |
7 |
| Avg Max Decline |
-1.13% |
-0.61% |
-1.50% |
-1.66% |
-1.20% |
-0.87% |
-1.95% |
-1.55% |
-2.62% |
-1.16% |
-0.52% |
| 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 |
5 |
6 |
8 |
10 |
12 |
6 |
10 |
11 |
8 |
5 |
3 |
| 2006 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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
21 |
25 |
25 |
25 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Lower |
7 |
9 |
8 |
10 |
9 |
11 |
16 |
9 |
15 |
9 |
8 |
| Penetrated Low |
6 |
5 |
7 |
4 |
8 |
6 |
12 |
8 |
9 |
3 |
8 |
| Scenario Percentage |
86% |
56% |
88% |
40% |
89% |
55% |
75% |
89% |
60% |
33% |
100% |
| Avg Max Decline |
4.64% |
6.43% |
3.22% |
4.49% |
6.21% |
10.94% |
8.43% |
7.58% |
10.03% |
5.13% |
9.71% |
| Max Decline |
7.25% |
13.47% |
4.01% |
12.01% |
27.57% |
21.70% |
23.21% |
17.74% |
44.45% |
9.94% |
16.13% |
| Avg Days To Max Decline |
19 |
14 |
11 |
13 |
16 |
18 |
18 |
16 |
18 |
16 |
21 |
| Avg Max Increase |
-1.44% |
-1.82% |
-1.57% |
-1.59% |
-1.27% |
-2.11% |
-2.51% |
-4.12% |
-2.93% |
-1.41% |
-2.31% |
| Max Increase |
-3.38% |
-6.11% |
-5.53% |
-2.57% |
-3.42% |
-3.62% |
-8.12% |
-11.95% |
-5.46% |
-2.55% |
-5.33% |
| Avg Days to Max Increase |
5 |
10 |
6 |
8 |
6 |
9 |
9 |
14 |
11 |
4 |
6 |
| 2006 Contract Condition |
|
|
|
|
Yes |
Yes |
|
|
|
|
|
| Action |
|
|
|
|
Yes |
No |
|
|
|
|
|
| High |
1329.70 |
1325.70 |
1338.50 |
1343.70 |
1352.00 |
1309.70 |
1299.70 |
1319.50 |
1350.30 |
1395.20 |
1411.00 |
| Low |
1289.20 |
1287.20 |
1303.10 |
1313.80 |
1270.00 |
1242.90 |
1248.50 |
1278.30 |
1302.70 |
1336.00 |
1365.60 |
| Close/Last |
1312.90 |
1313.70 |
1324.90 |
1338.20 |
1293.80 |
1290.90 |
1293.00 |
1316.90 |
1345.40 |
1383.20 |
1402.90 |
|
|