MRCI's ScenarioSM Study

ScenarioSM Study for S & P 500 Stock Index as of Jan 01, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	45	45	45	45	45	45	45	45	45	45	45
Closed Higher	27	22	29	31	25	25	19	27	20	26	30
Exceeded High	25	18	24	27	20	20	18	21	18	23	23
Scenario Percentage	93%	82%	83%	87%	80%	80%	95%	78%	90%	88%	77%
Avg Max Increase	5.38%	5.45%	6.48%	4.77%	5.13%	5.22%	4.83%	5.33%	6.70%	6.06%	3.43%
Max Increase	13.54%	11.08%	16.58%	12.57%	12.90%	13.07%	9.38%	18.33%	20.72%	13.32%	6.99%
Avg Days To Max Increase	17	18	16	16	19	19	18	13	19	17	16
Avg Max Decline	-1.25%	-0.62%	-1.48%	-1.44%	-1.55%	-1.78%	-1.65%	-1.37%	-1.86%	-1.14%	-0.48%
Max Decline	-5.29%	-2.07%	-5.27%	-4.78%	-5.42%	-7.55%	-4.23%	-3.57%	-9.22%	-5.38%	-2.30%
Avg Days to Max Decline	7	7	7	7	15	10	9	7	7	7	2
2009 Contract Condition			Yes	Yes	Yes	Yes	Yes	Yes	Yes		Yes
Action			Yes	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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	45	45	45	45	45	45	45	45	45	45	45
Closed Lower	18	23	16	14	20	20	26	18	24	18	15
Penetrated Low	16	16	10	7	13	15	20	14	17	10	14
Scenario Percentage	89%	70%	62%	50%	65%	75%	77%	78%	71%	56%	93%
Avg Max Decline	6.27%	5.91%	4.42%	6.35%	6.75%	8.14%	8.45%	6.93%	8.58%	6.77%	11.83%
Max Decline	19.26%	16.11%	7.85%	14.97%	27.31%	21.63%	22.00%	16.66%	36.38%	23.51%	36.34%
Avg Days To Max Decline	16	15	17	18	19	19	19	16	15	13	12
Avg Max Increase	-1.43%	-1.24%	-1.85%	-2.10%	-1.67%	-1.99%	-1.72%	-2.94%	-1.65%	-0.91%	-3.35%
Max Increase	-5.95%	-6.07%	-5.08%	-4.02%	-6.64%	-5.37%	-7.69%	-11.34%	-4.50%	-4.00%	-10.65%
Avg Days to Max Increase	7	7	10	15	8	10	6	12	8	5	16
2009 Contract Condition	Yes	Yes								Yes
Action	Yes	Yes								No
High	943.85	875.00	833.00	888.70	930.15	956.25	996.70	1039.45	1080.15	1101.35	1113.70
Low	804.30	734.50	666.80	783.30	866.10	888.85	869.30	978.50	991.95	1019.95	1029.40
Close/Last	825.90	735.10	797.85	872.80	919.15	919.30	987.50	1020.60	1057.10	1036.20	1095.65