|
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 |
|
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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