|
MRCI's ScenarioSM Study |
ScenarioSM Study for S & P 100(OEX) 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 |
|
33 |
33 |
33 |
33 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
Closed Higher |
|
19 |
23 |
21 |
21 |
18 |
22 |
19 |
21 |
19 |
15 |
22 |
Exceeded High |
|
17 |
20 |
19 |
17 |
15 |
17 |
18 |
19 |
14 |
13 |
17 |
Scenario Percentage |
|
89% |
87% |
90% |
81% |
83% |
77% |
95% |
90% |
74% |
87% |
77% |
Avg Max Increase |
|
14.10% |
9.18% |
6.49% |
393.78% |
5.01% |
6.37% |
5.22% |
6.47% |
12.37% |
4.46% |
8.16% |
Max Increase |
|
131.91% |
75.44% |
13.38% |
5621.63% |
10.82% |
14.38% |
12.10% |
37.88% |
63.49% |
8.42% |
93.80% |
Avg Days To Max Increase |
|
19 |
16 |
16 |
18 |
18 |
17 |
17 |
21 |
18 |
15 |
16 |
Avg Max Decline |
|
-2.34% |
-1.79% |
-3.86% |
-10.15% |
-1.21% |
-1.73% |
-7.30% |
-3.78% |
-3.00% |
-1.50% |
-3.91% |
Max Decline |
|
-16.41% |
-5.32% |
-32.48% |
-90.81% |
-4.03% |
-5.15% |
-99.66% |
-40.09% |
-13.45% |
-4.32% |
-47.49% |
Avg Days to Max Decline |
|
9 |
15 |
8 |
7 |
8 |
9 |
10 |
13 |
9 |
9 |
5 |
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 |
|
33 |
33 |
33 |
33 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
Closed Lower |
|
14 |
10 |
12 |
12 |
16 |
12 |
14 |
13 |
15 |
19 |
12 |
Penetrated Low |
|
6 |
4 |
8 |
10 |
12 |
8 |
7 |
8 |
10 |
14 |
6 |
Scenario Percentage |
|
43% |
40% |
67% |
83% |
75% |
67% |
50% |
62% |
67% |
74% |
50% |
Avg Max Decline |
|
21.51% |
26.23% |
30.17% |
8.91% |
13.63% |
15.03% |
17.54% |
7.18% |
15.55% |
20.05% |
6.74% |
Max Decline |
|
98.63% |
96.88% |
95.64% |
38.13% |
99.39% |
99.63% |
96.90% |
27.26% |
86.90% |
89.01% |
16.87% |
Avg Days To Max Decline |
|
12 |
11 |
16 |
18 |
18 |
17 |
18 |
15 |
17 |
18 |
20 |
Avg Max Increase |
|
-3.20% |
-25.72% |
-16.60% |
-4.71% |
-1.78% |
-3.30% |
-14.33% |
-1.56% |
-8.57% |
-14.97% |
-1.92% |
Max Increase |
|
-9.63% |
-100.36% |
-107.33% |
-30.60% |
-5.91% |
-10.31% |
-90.59% |
-3.67% |
-73.48% |
-119.37% |
-5.05% |
Avg Days to Max Increase |
|
2 |
5 |
6 |
8 |
8 |
11 |
7 |
6 |
11 |
8 |
5 |
2010 Contract Condition |
|
Yes |
|
|
Yes |
|
|
|
Yes |
Yes |
|
|
Action |
|
No |
|
|
Yes |
|
|
|
Not Yet |
|
|
|
High |
499.01 |
509.00 |
517.88 |
520.48 |
530.74 |
510.11 |
541.09 |
554.78 |
548.50 |
496.12 |
|
|
Low |
461.95 |
472.75 |
479.01 |
504.54 |
494.09 |
481.80 |
506.47 |
535.13 |
473.58 |
485.79 |
|
|
Close/Last |
488.35 |
482.31 |
510.74 |
514.09 |
495.09 |
506.06 |
534.90 |
540.28 |
493.06 |
486.24 |
|
|
|
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