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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for S & P 100(OEX) as of Jan 01, 2009
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   21 18 21 18 20 18 14 21 11 19 23
Exceeded High   17 15 16 17 18 13 12 16 10 17 18
Scenario Percentage   81% 83% 76% 94% 90% 72% 86% 76% 91% 89% 78%
Avg Max Increase   393.78% 5.01% 5.87% 4.97% 6.35% 12.37% 4.13% 13.28% 10.16% 14.03% 7.20%
Max Increase   5621.63% 10.82% 13.01% 12.10% 37.88% 63.49% 7.11% 146.50% 33.86% 131.91% 71.53%
Avg Days To Max Increase   18 18 18 18 20 18 15 14 20 19 16
Avg Max Decline   -10.15% -1.21% -1.73% -7.69% -3.74% -2.86% -1.53% -4.25% -1.71% -2.34% -0.98%
Max Decline   -90.81% -4.03% -5.15% -99.66% -40.09% -13.45% -4.32% -47.49% -7.74% -16.41% -5.32%
Avg Days to Max Decline   7 8 10 11 12 9 8 9 8 9 4
2008 Contract Condition   Yes   Yes Yes     Yes Yes      
Action   No   Yes Yes     Yes No      
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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   11 15 12 14 13 15 19 12 22 14 10
Penetrated Low   9 11 8 7 8 10 14 10 15 6 4
Scenario Percentage   82% 73% 67% 50% 62% 67% 74% 83% 68% 43% 40%
Avg Max Decline   7.80% 14.06% 15.03% 17.54% 7.18% 15.55% 20.05% 6.58% 19.22% 21.51% 26.23%
Max Decline   38.13% 99.39% 99.63% 96.90% 27.26% 86.90% 89.01% 16.87% 91.59% 98.63% 96.88%
Avg Days To Max Decline   20 19 17 18 15 17 18 19 17 12 11
Avg Max Increase   -4.64% -2.01% -3.30% -14.33% -1.56% -8.57% -14.97% -3.50% -14.07% -3.20% -25.72%
Max Increase   -30.60% -5.91% -10.31% -90.59% -3.67% -73.48% -119.37% -9.65% -168.31% -9.63% -100.36%
Avg Days to Max Increase   8 8 11 7 6 11 8 13 8 2 5
2008 Contract Condition     Yes     Yes Yes     Yes Yes Yes
Action     Yes     Yes Yes     Yes Yes Not Yet
High 56.05 651.08 647.93 632.94 650.21 655.10 639.23 596.38 608.81 601.50 548.43 482.76
Low 16.56 1.94 609.46 583.64 610.45 627.50 577.27 549.59 576.86 515.52 397.34 361.32
Close/Last 30.29 643.06 613.62 613.71 641.00 639.15 581.09 583.91 590.83 543.49 464.19 432.89

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