MRCI's ScenarioSM Study

ScenarioSM Study for S & P Midcap 400 Index as of Jan 01, 2013
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		31	32	32	32	32	32	32	32	32	32	32
Closed Higher		19	21	25	21	20	19	12	18	17	20	21
Exceeded High		18	20	20	18	18	16	12	13	14	16	20
Scenario Percentage		95%	95%	80%	86%	90%	84%	100%	72%	82%	80%	95%
Avg Max Increase		5.79%	6.31%	6.86%	6.51%	4.96%	6.10%	5.87%	5.50%	6.68%	7.84%	3.83%
Max Increase		13.42%	15.51%	20.63%	13.40%	12.75%	15.77%	13.08%	15.38%	17.53%	14.14%	8.53%
Avg Days To Max Increase		20	21	21	16	18	18	15	18	19	21	18
Avg Max Decline		-0.60%	-1.23%	-1.55%	-1.22%	-1.50%	-1.29%	-1.97%	-1.64%	-2.54%	-1.12%	-0.46%
Max Decline		-3.57%	-9.28%	-5.21%	-4.59%	-6.33%	-6.76%	-6.71%	-3.68%	-12.49%	-4.63%	-2.57%
Avg Days to Max Decline		8	9	10	5	11	8	10	9	7	7	5
2012 Contract Condition		Yes	Yes	Yes			Yes		Yes	Yes		Yes
Action		Yes	Yes	No			Yes		Yes	No		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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		31	32	32	32	32	32	32	32	32	32	32
Closed Lower		12	11	7	11	12	13	20	14	15	12	11
Penetrated Low		7	7	5	7	9	9	14	11	10	5	2
Scenario Percentage		58%	64%	71%	64%	75%	69%	70%	79%	67%	42%	18%
Avg Max Decline		8.13%	7.10%	4.49%	6.49%	8.29%	10.27%	10.33%	8.12%	12.19%	8.81%	3.91%
Max Decline		20.20%	13.04%	5.98%	12.80%	27.18%	21.36%	22.21%	19.49%	44.12%	28.50%	3.95%
Avg Days To Max Decline		13	15	21	20	17	16	17	15	16	15	6
Avg Max Increase		-1.48%	-1.91%	-1.31%	-1.95%	-1.30%	-0.96%	-1.16%	-3.68%	-1.05%	-1.94%	-0.19%
Max Increase		-7.14%	-3.52%	-2.43%	-4.67%	-3.40%	-3.55%	-5.15%	-13.39%	-2.96%	-2.65%	-0.38%
Avg Days to Max Increase		2	8	6	14	8	5	8	13	6	3	1
2012 Contract Condition					Yes	Yes		Yes			Yes
Action					Yes	Yes		No			Yes
High	901.45	949.60	990.00	1008.70	1004.95	1006.15	942.10	962.00	983.50	1030.00	1004.85	1005.60
Low	838.30	872.75	936.75	952.45	947.70	903.65	882.00	909.45	919.85	965.35	967.40	940.90
Close/Last	879.15	936.50	977.35	994.30	991.30	925.65	941.65	940.50	971.55	989.00	980.45	1000.15