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