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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for S & P Midcap 400 Index as of Jan 01, 2014
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   32 33 33 33 33 33 33 33 33 33 33
Closed Higher   20 22 26 22 21 19 13 18 18 21 22
Exceeded High   19 21 21 19 19 16 13 13 15 17 21
Scenario Percentage   95% 95% 81% 86% 90% 84% 100% 72% 83% 81% 95%
Avg Max Increase   5.78% 6.25% 6.82% 6.45% 4.96% 6.10% 5.60% 5.50% 6.61% 7.62% 3.78%
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 19 18 14 18 19 21 19
Avg Max Decline   -0.64% -1.24% -1.70% -1.26% -1.73% -1.29% -1.79% -1.64% -2.52% -1.15% -0.52%
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   9 9 10 5 12 8 9 9 7 7 5
2013 Contract Condition   Yes Yes Yes Yes Yes   Yes   Yes Yes Yes
Action   Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 33 33 33 33 33 33 33 33 33 33
Closed Lower   12 11 7 11 12 14 20 15 15 12 11
Penetrated Low   7 7 5 7 9 9 14 12 10 5 2
Scenario Percentage   58% 64% 71% 64% 75% 64% 70% 80% 67% 42% 18%
Avg Max Decline   8.13% 7.10% 4.49% 6.49% 8.29% 10.27% 10.33% 7.54% 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 14 16 15 6
Avg Max Increase   -1.48% -1.91% -1.31% -1.95% -1.30% -0.96% -1.16% -3.50% -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 12 6 3 1
2013 Contract Condition             Yes   Yes      
Action             No   Yes      
High 1030.15 1097.40 1123.75 1154.65 1160.00 1223.35 1190.45 1243.05 1261.20 1260.80 1302.40 1314.00
Low 991.90 1020.45 1078.65 1086.00 1101.05 1138.50 1114.05 1163.35 1181.95 1170.60 1216.80 1267.60
Close/Last 1020.45 1093.40 1102.65 1153.70 1160.00 1184.30 1160.80 1231.90 1183.85 1243.85 1289.20 1304.20

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