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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, 2010
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 23 27 27 27 28 28 28 28 28 28 28
Closed Higher 14 16 18 17 19 16 11 18 12 17 19
Exceeded High 12 13 15 17 16 12 11 13 12 13 15
Scenario Percentage 86% 81% 83% 100% 84% 75% 100% 72% 100% 76% 79%
Avg Max Increase 6.03% 4.71% 6.72% 4.97% 4.49% 5.97% 3.75% 5.48% 5.82% 7.03% 2.87%
Max Increase 13.15% 9.38% 16.75% 12.49% 12.15% 13.41% 9.74% 19.72% 16.59% 13.00% 5.66%
Avg Days To Max Increase 16 14 17 16 18 17 16 13 21 12 9
Avg Max Decline -1.15% -0.68% -1.65% -1.60% -1.48% -1.26% -1.86% -1.68% -2.76% -1.17% -0.53%
Max Decline -5.09% -2.00% -6.03% -4.65% -5.27% -5.48% -3.69% -3.25% -9.45% -3.88% -1.43%
Avg Days to Max Decline 5 6 7 9 13 6 11 8 7 5 3
2009 Contract Condition     Yes Yes Yes Yes Yes Yes Yes   Yes
Action     Yes Yes Yes Yes Yes Yes Yes   Yes
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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 23 27 27 27 28 28 28 28 28 28 28
Closed Lower 9 11 9 10 9 12 17 9 16 11 9
Penetrated Low 8 7 7 4 8 7 13 8 10 4 8
Scenario Percentage 89% 64% 78% 40% 89% 58% 76% 89% 62% 36% 89%
Avg Max Decline 7.25% 7.39% 3.28% 4.55% 6.27% 10.32% 8.74% 7.58% 12.70% 10.01% 9.74%
Max Decline 19.09% 13.47% 4.26% 12.01% 27.76% 21.90% 23.21% 17.74% 44.45% 23.60% 16.13%
Avg Days To Max Decline 17 15 11 13 16 17 19 16 18 19 21
Avg Max Increase -2.10% -1.07% -1.60% -1.73% -1.50% -1.99% -2.60% -4.12% -2.68% -2.43% -2.78%
Max Increase -5.93% -6.26% -5.53% -2.77% -3.42% -3.62% -8.12% -11.95% -5.46% -4.23% -7.28%
Avg Days to Max Increase 5 7 6 7 6 7 9 14 10 11 9
2009 Contract Condition Yes Yes               Yes  
Action Yes Yes               Not Yet  
High 931.10 862.50 821.80 874.80 920.00 945.20 990.50 1033.50 1075.50 1099.00 1112.10
Low 791.10 724.10 658.80 773.00 855.60 880.40 861.40 972.00 987.00 1012.10 1026.20
Close/Last 814.20 725.70 788.00 862.60 909.30 911.30 980.00 1015.20 1052.90 1033.00 1094.80

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