|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for S & P Midcap 400 Index as of May 31, 2010 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
|
28 |
28 |
28 |
28 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
| Closed Higher |
|
18 |
18 |
20 |
17 |
18 |
22 |
19 |
20 |
18 |
11 |
17 |
| Exceeded High |
|
15 |
17 |
19 |
16 |
17 |
18 |
17 |
18 |
15 |
11 |
12 |
| Scenario Percentage |
|
83% |
94% |
95% |
94% |
94% |
82% |
89% |
90% |
83% |
100% |
71% |
| Avg Max Increase |
|
8.17% |
6.00% |
5.88% |
5.59% |
6.06% |
7.01% |
6.87% |
4.96% |
6.22% |
5.79% |
2.87% |
| Max Increase |
|
17.44% |
13.67% |
17.05% |
13.42% |
12.73% |
20.63% |
13.40% |
12.75% |
15.77% |
13.08% |
8.50% |
| Avg Days To Max Increase |
|
22 |
19 |
15 |
19 |
20 |
22 |
17 |
18 |
18 |
14 |
17 |
| Avg Max Decline |
|
-1.15% |
-1.24% |
-2.18% |
-0.66% |
-0.99% |
-1.55% |
-1.25% |
-1.50% |
-1.14% |
-1.54% |
-1.20% |
| Max Decline |
|
-4.63% |
-5.65% |
-7.86% |
-3.57% |
-9.28% |
-5.21% |
-4.59% |
-6.33% |
-6.76% |
-4.61% |
-3.23% |
| Avg Days to Max Decline |
|
7 |
16 |
5 |
6 |
9 |
10 |
5 |
11 |
7 |
9 |
6 |
| 2010 Contract Condition |
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
|
|
| Action |
|
|
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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
|
28 |
28 |
28 |
28 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
| Closed Lower |
|
10 |
10 |
7 |
11 |
11 |
7 |
10 |
9 |
11 |
18 |
12 |
| Penetrated Low |
|
3 |
3 |
6 |
6 |
7 |
5 |
6 |
6 |
7 |
13 |
7 |
| Scenario Percentage |
|
30% |
30% |
86% |
55% |
64% |
71% |
60% |
67% |
64% |
72% |
58% |
| Avg Max Decline |
|
12.96% |
7.62% |
8.21% |
8.99% |
7.10% |
4.49% |
5.74% |
8.83% |
9.78% |
9.71% |
7.13% |
| Max Decline |
|
28.50% |
15.04% |
14.79% |
20.20% |
13.04% |
5.98% |
12.80% |
27.18% |
21.36% |
22.21% |
19.49% |
| Avg Days To Max Decline |
|
19 |
11 |
17 |
14 |
15 |
21 |
23 |
23 |
19 |
18 |
21 |
| Avg Max Increase |
|
-1.82% |
-1.45% |
-1.33% |
-1.21% |
-1.91% |
-1.31% |
-2.02% |
-1.48% |
-0.70% |
-1.16% |
-1.81% |
| Max Increase |
|
-2.65% |
-3.97% |
-4.23% |
-7.14% |
-3.52% |
-2.43% |
-4.67% |
-3.40% |
-3.48% |
-5.15% |
-4.13% |
| Avg Days to Max Increase |
|
4 |
4 |
4 |
3 |
8 |
6 |
16 |
8 |
6 |
9 |
6 |
| 2010 Contract Condition |
|
Yes |
|
|
Yes |
|
|
|
Yes |
Yes |
|
|
| Action |
|
Yes |
|
|
Yes |
|
|
|
Not Yet |
|
|
|
| High |
710.20 |
717.75 |
713.75 |
743.15 |
755.90 |
742.55 |
800.75 |
852.90 |
836.45 |
764.65 |
|
|
| Low |
633.40 |
657.15 |
651.80 |
684.75 |
702.35 |
681.90 |
738.35 |
789.85 |
714.70 |
742.50 |
|
|
| Close/Last |
691.00 |
659.15 |
684.75 |
726.65 |
702.80 |
738.35 |
789.90 |
823.05 |
762.75 |
742.60 |
|
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
