MRCI's ScenarioSM Study

ScenarioSM Study for S & P 500 Stock Index 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		45	45	45	45	45	45	45	45	45	45	45
Closed Higher		26	24	30	30	25	25	19	27	20	26	29
Exceeded High		24	20	25	26	20	20	18	21	18	22	22
Scenario Percentage		92%	83%	83%	87%	80%	80%	95%	78%	90%	85%	76%
Avg Max Increase		5.86%	5.34%	6.24%	4.90%	5.13%	5.17%	4.97%	5.26%	6.95%	6.47%	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		18	17	17	16	19	20	18	13	19	18	16
Avg Max Decline		-1.25%	-1.01%	-1.34%	-1.50%	-1.55%	-1.93%	-1.95%	-1.41%	-1.90%	-1.18%	-0.56%
Max Decline		-5.29%	-5.81%	-5.27%	-4.78%	-5.42%	-7.55%	-5.62%	-3.57%	-9.22%	-5.38%	-2.30%
Avg Days to Max Decline		7	7	6	7	15	10	9	7	7	7	3
2012 Contract Condition		Yes	Yes	Yes			Yes	Yes	Yes	Yes		Yes
Action		Yes	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		45	45	45	45	45	45	45	45	45	45	45
Closed Lower		19	21	15	15	20	20	26	18	24	18	16
Penetrated Low		17	15	9	8	13	16	20	14	17	10	8
Scenario Percentage		89%	71%	60%	53%	65%	80%	77%	78%	71%	56%	50%
Avg Max Decline		6.06%	6.02%	4.22%	6.73%	7.18%	8.04%	8.64%	7.41%	8.62%	6.96%	3.65%
Max Decline		19.26%	16.11%	7.85%	14.97%	27.31%	21.63%	22.00%	16.66%	36.38%	23.51%	7.08%
Avg Days To Max Decline		15	15	17	16	16	17	18	16	15	13	9
Avg Max Increase		-1.51%	-1.41%	-1.67%	-1.99%	-1.80%	-1.85%	-1.75%	-2.72%	-1.80%	-1.19%	-0.52%
Max Increase		-5.95%	-6.07%	-5.08%	-4.02%	-6.64%	-5.37%	-7.69%	-11.34%	-4.50%	-4.00%	-5.64%
Avg Days to Max Increase		6	7	9	13	7	9	6	11	8	5	3
2012 Contract Condition					Yes	Yes					Yes
Action					Yes	Yes					Yes
High	1269.35	1333.45	1378.05	1419.15	1422.40	1415.30	1363.45	1391.75	1426.70	1474.50	1470.95	1434.25
Low	1202.35	1258.85	1314.70	1340.05	1357.40	1292.00	1266.75	1325.40	1354.65	1396.55	1403.30	1343.35
Close/Last	1257.60	1312.40	1365.70	1408.45	1397.90	1310.35	1362.15	1379.30	1406.60	1440.65	1412.15	1416.20