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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, 2013
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   36 37 37 37 37 37 37 37 37 37 37
Closed Higher   23 21 24 21 21 20 17 23 13 22 24
Exceeded High   19 18 19 19 19 15 15 17 12 19 19
Scenario Percentage   83% 86% 79% 90% 90% 75% 88% 74% 92% 86% 79%
Avg Max Increase   353.00% 5.05% 5.94% 4.97% 6.47% 11.85% 4.33% 12.92% 9.59% 12.97% 6.92%
Max Increase   5621.63% 10.82% 14.38% 12.10% 37.88% 63.49% 8.42% 146.50% 33.86% 131.91% 71.53%
Avg Days To Max Increase   18 18 16 16 21 18 16 14 19 19 17
Avg Max Decline   -9.07% -1.46% -1.56% -6.94% -3.78% -2.96% -1.80% -4.16% -1.74% -2.44% -1.00%
Max Decline   -90.81% -6.16% -5.15% -99.66% -40.09% -13.45% -5.76% -47.49% -7.74% -16.41% -5.32%
Avg Days to Max Decline   6 8 9 10 13 9 10 8 7 10 4
2012 Contract Condition   Yes Yes Yes     Yes Yes Yes   Yes  
Action   Yes Yes Yes     Yes Yes No   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   36 37 37 37 37 37 37 37 37 37 37
Closed Lower   13 16 13 15 16 17 20 14 24 15 13
Penetrated Low   11 12 8 8 11 12 15 11 17 6 4
Scenario Percentage   85% 75% 62% 53% 69% 71% 75% 79% 71% 40% 31%
Avg Max Decline   8.35% 13.63% 15.03% 16.46% 6.66% 14.36% 19.64% 6.97% 22.93% 21.51% 26.23%
Max Decline   38.13% 99.39% 99.63% 96.90% 27.26% 86.90% 89.01% 16.87% 96.80% 98.63% 96.88%
Avg Days To Max Decline   17 18 17 16 13 15 18 17 16 12 11
Avg Max Increase   -4.53% -1.78% -3.30% -12.69% -1.46% -7.39% -14.05% -3.26% -21.67% -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   7 8 11 6 6 10 7 12 8 2 5
2012 Contract Condition         Yes Yes       Yes   Yes
Action         Yes Yes       Yes   Not Yet
High 575.81 602.80 625.10 645.52 646.76 643.29 623.83 640.00 652.23 647.98 651.31 653.67
Low 546.10 570.79 593.83 608.89 618.09 590.05 579.26 609.03 624.73 0.73 0.27 611.25
Close/Last 570.79 593.83 619.45 640.68 635.45 597.29 623.82 635.74 646.41 8.44 646.52 646.39

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