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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December S & P 500(CME) as of Sep 30, 2009 |
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 |
22 |
26 |
26 |
26 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
| Closed Higher |
14 |
16 |
17 |
16 |
18 |
15 |
10 |
17 |
11 |
17 |
18 |
| Exceeded High |
12 |
13 |
14 |
16 |
15 |
11 |
10 |
12 |
11 |
13 |
14 |
| Scenario Percentage |
86% |
81% |
82% |
100% |
83% |
73% |
100% |
71% |
100% |
76% |
78% |
| Avg Max Increase |
5.99% |
4.67% |
6.00% |
4.67% |
4.19% |
5.29% |
3.15% |
5.24% |
5.82% |
7.03% |
2.92% |
| Max Increase |
13.15% |
9.38% |
13.98% |
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 |
20 |
12 |
9 |
| Avg Max Decline |
-1.15% |
-0.64% |
-1.55% |
-1.57% |
-1.21% |
-0.87% |
-1.96% |
-1.56% |
-2.64% |
-1.16% |
-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 |
9 |
12 |
6 |
10 |
11 |
8 |
5 |
3 |
| 2009 Contract Condition |
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
| Action |
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Not Yet |
|
|
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 |
22 |
26 |
26 |
26 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
| Closed Lower |
8 |
10 |
9 |
10 |
9 |
12 |
17 |
9 |
16 |
10 |
9 |
| Penetrated Low |
7 |
6 |
7 |
4 |
8 |
7 |
13 |
8 |
10 |
4 |
8 |
| Scenario Percentage |
88% |
60% |
78% |
40% |
89% |
58% |
76% |
89% |
63% |
40% |
89% |
| Avg Max Decline |
5.31% |
6.85% |
3.25% |
4.49% |
6.24% |
10.29% |
8.74% |
7.58% |
12.70% |
10.01% |
9.74% |
| Max Decline |
9.34% |
13.47% |
4.03% |
12.01% |
27.57% |
21.70% |
23.21% |
17.74% |
44.45% |
23.60% |
16.13% |
| Avg Days To Max Decline |
19 |
16 |
11 |
13 |
16 |
17 |
19 |
16 |
18 |
19 |
21 |
| Avg Max Increase |
-1.43% |
-1.29% |
-1.58% |
-1.59% |
-1.31% |
-1.95% |
-2.60% |
-4.12% |
-2.68% |
-2.43% |
-2.78% |
| Max Increase |
-3.38% |
-6.11% |
-5.53% |
-2.57% |
-3.42% |
-3.62% |
-8.12% |
-11.95% |
-5.46% |
-4.23% |
-7.28% |
| Avg Days to Max Increase |
4 |
9 |
6 |
8 |
6 |
8 |
9 |
14 |
10 |
11 |
9 |
| 2009 Contract Condition |
Yes |
Yes |
|
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|
|
|
|
|
|
| Action |
Yes |
Yes |
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|
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|
| High |
931.10 |
862.50 |
821.80 |
874.80 |
920.00 |
945.20 |
990.50 |
1033.50 |
1075.50 |
|
|
| Low |
791.10 |
724.10 |
658.80 |
773.00 |
855.60 |
880.40 |
861.40 |
972.00 |
987.00 |
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|
| Close/Last |
814.20 |
725.70 |
788.00 |
862.60 |
909.30 |
911.30 |
980.00 |
1015.20 |
1052.90 |
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