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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December S & P 500(CME) as of Jan 01, 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 6.03% 4.71% 6.00% 4.75% 4.20% 5.29% 3.15% 5.25% 5.83% 7.07% 2.96%
Max Increase 13.15% 9.38% 14.02% 12.49% 12.15% 11.90% 6.06% 19.72% 16.59% 13.00% 5.66%
Avg Days To Max Increase 16 14 18 16 17 16 16 12 21 12 9
Avg Max Decline -1.15% -0.68% -1.63% -1.75% -1.23% -0.87% -1.96% -1.59% -2.66% -1.17% -0.55%
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 9 8 5 3
2007 Contract Condition Yes   Yes Yes Yes     Yes Yes Yes  
Action Yes   Yes Yes Yes     Yes Yes Not Yet  
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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 4.93% 6.83% 3.28% 4.55% 6.27% 10.99% 8.44% 7.58% 10.03% 5.47% 9.74%
Max Decline 7.87% 13.47% 4.26% 12.01% 27.76% 21.90% 23.21% 17.74% 44.45% 9.94% 16.13%
Avg Days To Max Decline 20 16 11 13 16 18 18 16 18 19 21
Avg Max Increase -1.59% -2.14% -1.60% -1.73% -1.50% -2.18% -2.51% -4.12% -2.93% -1.83% -3.10%
Max Increase -3.38% -6.26% -5.53% -2.77% -3.42% -3.62% -8.12% -11.95% -5.46% -2.55% -7.28%
Avg Days to Max Increase 5 9 6 7 6 8 9 14 11 14 10
2007 Contract Condition   Yes       Yes Yes       Yes
Action   Yes       Yes Yes       Not Yet
High 1485.70 1503.60 1474.20 1530.60 1565.50 1571.10 1579.20 1522.20 1552.00 1586.50 1554.80
Low 1450.90 1432.00 1399.90 1452.60 1509.80 1507.70 1469.90 1387.00 1454.50 1492.60 1406.30
Close/Last 1482.40 1446.30 1456.10 1514.80 1561.10 1528.30 1473.90 1489.50 1538.10 1554.90 1483.70

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