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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 Apr 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   34 34 34 34 34 34 34 35 35 35 35
Closed Higher   15 22 12 19 24 22 21 19 23 20 21
Exceeded High   13 17 11 17 21 20 17 16 18 18 16
Scenario Percentage   87% 77% 92% 89% 88% 91% 81% 84% 78% 90% 76%
Avg Max Increase   4.46% 12.92% 9.79% 14.10% 8.92% 6.33% 393.78% 5.30% 6.22% 5.22% 3.91%
Max Increase   8.42% 146.50% 33.86% 131.91% 75.44% 13.38% 5621.63% 10.82% 14.38% 12.10% 11.32%
Avg Days To Max Increase   15 14 20 19 16 16 18 18 17 17 16
Avg Max Decline   -1.50% -4.16% -1.84% -2.34% -1.76% -3.66% -10.15% -1.13% -1.63% -7.30% -2.86%
Max Decline   -4.32% -47.49% -7.74% -16.41% -5.32% -32.48% -90.81% -4.03% -5.15% -99.66% -38.62%
Avg Days to Max Decline   9 8 7 9 15 8 7 7 9 10 4
2011 Contract Condition   Yes   Yes Yes   Yes Yes Yes   Yes  
Action   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   34 34 34 34 34 34 34 35 35 35 35
Closed Lower   19 12 22 15 10 12 13 16 12 14 14
Penetrated Low   14 10 15 6 4 8 11 12 8 7 9
Scenario Percentage   74% 83% 68% 40% 40% 67% 85% 75% 67% 50% 64%
Avg Max Decline   20.05% 6.58% 19.22% 21.51% 26.23% 30.17% 8.35% 13.63% 15.03% 17.54% 4.56%
Max Decline   89.01% 16.87% 91.59% 98.63% 96.88% 95.64% 38.13% 99.39% 99.63% 96.90% 10.95%
Avg Days To Max Decline   18 19 17 12 11 16 17 18 17 18 20
Avg Max Increase   -14.97% -3.50% -14.07% -3.20% -25.72% -16.60% -4.53% -1.78% -3.30% -14.33% -1.70%
Max Increase   -119.37% -9.65% -168.31% -9.63% -100.36% -107.33% -30.60% -5.91% -10.31% -90.59% -3.67%
Avg Days to Max Increase   8 13 8 2 5 6 7 8 11 7 6
2011 Contract Condition     Yes     Yes       Yes   Yes
Action     No     No       Not Yet    
High 510.64 508.41 512.78 521.83 539.71 553.09 568.25 586.98 602.77 598.22 608.57 611.06
Low 466.52 459.29 471.72 475.82 511.35 527.01 532.43 565.89 580.52 559.23 577.56 605.80
Close/Last 467.65 500.56 475.73 514.65 533.08 529.73 565.90 579.23 595.96 592.72 608.33 607.06

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