|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for S & P 500 Stock Index 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 |
|
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
|
27 |
29 |
32 |
27 |
22 |
29 |
31 |
25 |
25 |
19 |
27 |
| Exceeded High |
|
24 |
26 |
30 |
25 |
18 |
24 |
27 |
20 |
20 |
18 |
20 |
| Scenario Percentage |
|
89% |
90% |
94% |
93% |
82% |
83% |
87% |
80% |
80% |
95% |
74% |
| Avg Max Increase |
|
5.93% |
5.79% |
4.87% |
5.38% |
5.45% |
6.48% |
4.77% |
5.13% |
5.22% |
4.83% |
3.35% |
| Max Increase |
|
13.32% |
12.74% |
12.32% |
13.54% |
11.08% |
16.58% |
12.57% |
12.90% |
13.07% |
9.38% |
7.97% |
| Avg Days To Max Increase |
|
18 |
18 |
14 |
17 |
18 |
16 |
16 |
19 |
19 |
18 |
17 |
| Avg Max Decline |
|
-1.10% |
-1.83% |
-1.66% |
-1.25% |
-0.62% |
-1.48% |
-1.44% |
-1.55% |
-1.78% |
-1.65% |
-0.94% |
| Max Decline |
|
-5.38% |
-5.32% |
-6.33% |
-5.29% |
-2.07% |
-5.27% |
-4.78% |
-5.42% |
-7.55% |
-4.23% |
-3.57% |
| Avg Days to Max Decline |
|
7 |
16 |
6 |
7 |
7 |
7 |
7 |
15 |
10 |
9 |
3 |
| 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 |
|
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
|
17 |
16 |
13 |
18 |
23 |
16 |
14 |
20 |
20 |
26 |
18 |
| Penetrated Low |
|
10 |
11 |
8 |
16 |
16 |
10 |
7 |
13 |
15 |
20 |
9 |
| Scenario Percentage |
|
59% |
69% |
62% |
89% |
70% |
63% |
50% |
65% |
75% |
77% |
50% |
| Avg Max Decline |
|
6.77% |
4.58% |
7.69% |
6.27% |
5.91% |
4.42% |
6.35% |
6.75% |
8.14% |
8.36% |
7.11% |
| Max Decline |
|
23.51% |
14.25% |
13.50% |
19.26% |
16.11% |
7.85% |
14.97% |
27.31% |
21.63% |
22.00% |
16.66% |
| Avg Days To Max Decline |
|
13 |
11 |
20 |
16 |
15 |
17 |
18 |
19 |
19 |
19 |
22 |
| Avg Max Increase |
|
-0.91% |
-0.65% |
-2.13% |
-1.43% |
-1.24% |
-1.85% |
-2.10% |
-1.67% |
-1.99% |
-1.72% |
-1.31% |
| Max Increase |
|
-4.00% |
-5.64% |
-6.28% |
-5.95% |
-6.07% |
-5.08% |
-4.02% |
-6.64% |
-5.37% |
-7.69% |
-4.51% |
| Avg Days to Max Increase |
|
5 |
7 |
5 |
7 |
7 |
10 |
15 |
8 |
10 |
6 |
5 |
| 2010 Contract Condition |
|
Yes |
|
|
Yes |
|
|
|
Yes |
Yes |
|
|
| Action |
|
No |
|
|
Yes |
|
|
|
Not Yet |
|
|
|
| High |
1080.15 |
1101.35 |
1113.70 |
1130.40 |
1150.45 |
1112.40 |
1180.70 |
1219.80 |
1205.15 |
1094.75 |
|
|
| Low |
991.95 |
1019.95 |
1029.40 |
1085.90 |
1071.60 |
1044.50 |
1105.35 |
1170.70 |
1040.80 |
1069.90 |
|
|
| Close/Last |
1057.10 |
1036.20 |
1095.65 |
1115.10 |
1073.85 |
1104.50 |
1169.45 |
1186.70 |
1089.40 |
1070.70 |
|
|
|
|
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|
