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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March S & P 500(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 22 24 25 25 25 25 25 25 25 25 25
Closed Higher 13 14 13 10 16 11 16 18 19 18 15
Exceeded High 13 12 8 9 12 11 14 18 19 15 11
Scenario Percentage 100% 86% 62% 90% 75% 100% 88% 100% 100% 83% 73%
Avg Max Increase 4.69% 4.51% 6.15% 3.38% 5.09% 5.82% 7.69% 5.19% 5.28% 5.07% 2.84%
Max Increase 12.41% 12.17% 11.98% 6.04% 19.53% 16.68% 13.57% 13.40% 12.72% 11.01% 4.65%
Avg Days To Max Increase 16 17 16 15 13 21 18 14 15 11 9
Avg Max Decline -1.77% -0.96% -0.47% -1.77% -1.48% -2.96% -1.54% -1.88% -2.30% -1.42% -0.63%
Max Decline -4.82% -4.38% -4.17% -3.97% -4.25% -9.43% -5.70% -5.53% -6.31% -5.15% -1.89%
Avg Days to Max Decline 11 7 7 9 10 8 7 14 6 5 2
2007 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 22 24 25 25 25 25 25 25 25 25 25
Closed Lower 9 10 12 15 9 14 9 7 6 7 10
Penetrated Low 4 9 7 11 8 8 3 5 3 5 7
Scenario Percentage 44% 90% 58% 73% 89% 57% 33% 71% 50% 71% 70%
Avg Max Decline 4.38% 6.45% 8.98% 8.72% 7.62% 10.83% 6.38% 3.06% 8.63% 5.48% 16.23%
Max Decline 12.05% 28.08% 22.15% 23.47% 17.95% 45.02% 13.10% 5.31% 8.84% 7.75% 36.62%
Avg Days To Max Decline 13 17 17 19 16 19 16 9 19 19 20
Avg Max Increase -1.50% -1.53% -1.66% -2.37% -3.82% -3.21% -1.84% -1.88% -4.44% -1.52% -2.38%
Max Increase -2.76% -3.41% -3.52% -8.05% -12.00% -5.50% -2.48% -5.32% -6.55% -3.48% -5.95%
Avg Days to Max Increase 7 5 7 9 14 12 14 6 18 5 5
2007 Contract Condition   Yes Yes               Yes
Action   Yes No               Yes
High 1357.70 1364.80 1325.50 1311.40 1331.00 1361.00 1407.00 1423.00 1444.90 1447.20 1464.50
Low 1322.20 1279.30 1250.30 1254.70 1287.70 1313.50 1348.00 1377.50 1399.50 1412.20 1389.00
Close/Last 1349.20 1304.30 1302.40 1303.90 1327.90 1356.50 1394.90 1414.80 1428.40 1443.00 1408.90

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