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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, 2010
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 24 26 27 27 27 27 27 27 27 27 27
Closed Higher 15 16 13 10 18 12 17 18 20 18 15
Exceeded High 15 13 8 9 13 12 14 18 20 16 11
Scenario Percentage 100% 81% 62% 90% 72% 100% 82% 100% 100% 89% 73%
Avg Max Increase 4.56% 4.25% 6.15% 3.38% 5.19% 5.60% 7.69% 5.19% 5.25% 5.09% 3.05%
Max Increase 12.41% 12.17% 11.98% 6.04% 19.53% 16.68% 13.57% 13.40% 12.72% 11.24% 4.87%
Avg Days To Max Increase 15 17 16 15 13 20 18 14 14 13 11
Avg Max Decline -1.57% -1.15% -0.47% -1.77% -1.54% -2.67% -1.54% -1.88% -2.20% -1.47% -0.76%
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 10 9 7 9 10 8 7 14 6 6 3
2009 Contract Condition Yes Yes     Yes       Yes    
Action Yes No     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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 24 26 27 27 27 27 27 27 27 27 27
Closed Lower 9 10 14 17 9 15 10 9 7 9 12
Penetrated Low 4 9 9 13 8 9 4 6 4 6 9
Scenario Percentage 44% 90% 64% 76% 89% 60% 40% 67% 57% 67% 75%
Avg Max Decline 4.38% 6.45% 8.71% 8.81% 7.62% 13.74% 10.72% 5.21% 10.23% 7.74% 14.54%
Max Decline 12.05% 28.08% 22.15% 23.47% 17.95% 45.02% 23.73% 15.93% 15.02% 19.06% 36.62%
Avg Days To Max Decline 13 17 17 19 16 19 17 11 20 16 18
Avg Max Increase -1.50% -1.53% -1.75% -2.53% -3.82% -2.88% -2.31% -2.05% -3.43% -2.28% -2.33%
Max Increase -2.76% -3.41% -3.52% -8.05% -12.00% -5.50% -3.73% -5.32% -6.55% -6.12% -8.48%
Avg Days to Max Increase 7 5 7 9 14 11 11 7 14 5 9
2009 Contract Condition     Yes Yes   Yes Yes Yes   Yes Yes
Action     Yes Yes   Yes Yes No   Yes Yes
High 1411.70 1444.10 1413.10 1296.70 1315.00 1305.30 1173.00 1002.30 918.50 942.00 872.80
Low 1327.00 1379.80 1282.20 1206.80 1252.10 1110.00 833.00 737.00 813.50 797.00 725.00
Close/Last 1393.10 1408.40 1286.70 1270.40 1286.30 1171.00 966.30 894.00 900.10 822.50 734.20

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