|
MRCI's ScenarioSM Study |
ScenarioSM Study for S & P 500 Stock Index 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 |
|
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Higher |
|
19 |
27 |
20 |
26 |
30 |
32 |
26 |
23 |
30 |
31 |
25 |
Exceeded High |
|
18 |
21 |
18 |
23 |
27 |
30 |
24 |
19 |
25 |
26 |
19 |
Scenario Percentage |
|
95% |
78% |
90% |
88% |
90% |
94% |
92% |
83% |
83% |
84% |
76% |
Avg Max Increase |
|
4.83% |
5.33% |
6.70% |
6.11% |
5.76% |
4.86% |
5.60% |
5.72% |
6.39% |
4.89% |
3.41% |
Max Increase |
|
9.38% |
18.33% |
20.72% |
13.32% |
12.74% |
12.32% |
13.54% |
11.08% |
16.58% |
12.57% |
7.19% |
Avg Days To Max Increase |
|
18 |
13 |
19 |
17 |
18 |
15 |
18 |
18 |
17 |
16 |
17 |
Avg Max Decline |
|
-1.65% |
-1.37% |
-1.86% |
-1.14% |
-1.80% |
-1.63% |
-1.30% |
-0.58% |
-1.42% |
-1.50% |
-0.68% |
Max Decline |
|
-4.23% |
-3.57% |
-9.22% |
-5.38% |
-5.32% |
-6.33% |
-5.29% |
-2.07% |
-5.27% |
-4.78% |
-3.68% |
Avg Days to Max Decline |
|
9 |
7 |
7 |
7 |
16 |
6 |
7 |
6 |
6 |
7 |
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 |
|
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Lower |
|
26 |
18 |
24 |
18 |
15 |
13 |
19 |
22 |
15 |
14 |
20 |
Penetrated Low |
|
20 |
14 |
17 |
10 |
10 |
8 |
17 |
16 |
10 |
7 |
12 |
Scenario Percentage |
|
77% |
78% |
71% |
56% |
67% |
62% |
89% |
73% |
67% |
50% |
60% |
Avg Max Decline |
|
8.45% |
6.93% |
8.58% |
6.77% |
4.90% |
7.69% |
6.06% |
5.91% |
4.42% |
6.35% |
3.69% |
Max Decline |
|
22.00% |
16.66% |
36.38% |
23.51% |
14.25% |
13.50% |
19.26% |
16.11% |
7.85% |
14.97% |
10.71% |
Avg Days To Max Decline |
|
19 |
16 |
15 |
13 |
11 |
20 |
15 |
15 |
17 |
18 |
18 |
Avg Max Increase |
|
-1.72% |
-2.94% |
-1.65% |
-0.91% |
-0.72% |
-2.13% |
-1.51% |
-1.24% |
-1.85% |
-2.10% |
-1.98% |
Max Increase |
|
-7.69% |
-11.34% |
-4.50% |
-4.00% |
-5.64% |
-6.28% |
-5.95% |
-6.07% |
-5.08% |
-4.02% |
-6.64% |
Avg Days to Max Increase |
|
6 |
12 |
8 |
5 |
7 |
5 |
6 |
7 |
10 |
15 |
5 |
2011 Contract Condition |
|
|
Yes |
|
|
Yes |
|
|
|
Yes |
|
Yes |
Action |
|
|
No |
|
|
No |
|
|
|
Not Yet |
|
|
High |
1131.25 |
1120.95 |
1129.25 |
1157.15 |
1196.15 |
1227.10 |
1262.60 |
1302.65 |
1344.05 |
1332.30 |
1364.55 |
1370.60 |
Low |
1028.35 |
1010.90 |
1039.70 |
1049.70 |
1131.85 |
1173.00 |
1186.60 |
1257.60 |
1289.15 |
1250.10 |
1294.70 |
1358.60 |
Close/Last |
1030.70 |
1101.60 |
1049.35 |
1141.20 |
1183.25 |
1180.55 |
1257.65 |
1286.10 |
1327.20 |
1325.85 |
1363.60 |
1361.20 |
|
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