MRCI's ScenarioSM Study

ScenarioSM Study for March S & P 500(CME) as of Dec 31, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		25	27	28	28	28	28	28	28	28	28	28
Closed Higher		16	17	14	11	19	13	17	19	21	18	16
Exceeded High		16	14	9	10	14	13	14	19	21	16	12
Scenario Percentage		100%	82%	64%	91%	74%	100%	82%	100%	100%	89%	75%
Avg Max Increase		4.87%	4.59%	6.96%	4.02%	5.40%	5.59%	7.69%	5.20%	5.16%	4.98%	3.21%
Max Increase		12.41%	12.17%	13.42%	9.71%	19.53%	16.68%	13.57%	13.40%	12.72%	11.01%	6.04%
Avg Days To Max Increase		14	18	18	15	14	19	18	14	14	13	11
Avg Max Decline		-1.52%	-1.45%	-1.03%	-1.68%	-1.62%	-2.74%	-1.54%	-1.82%	-2.09%	-1.47%	-0.69%
Max Decline		-4.82%	-5.33%	-5.52%	-3.97%	-4.25%	-9.43%	-5.70%	-5.53%	-6.31%	-5.15%	-1.89%
Avg Days to Max Decline		9	11	7	9	10	7	7	14	6	6	3
2010 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes		Yes	Yes		Yes
Action		Yes	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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		25	27	28	28	28	28	28	28	28	28	28
Closed Lower		9	10	14	17	9	15	11	9	7	10	12
Penetrated Low		4	9	9	13	8	9	4	6	4	7	6
Scenario Percentage		44%	90%	64%	76%	89%	60%	36%	67%	57%	70%	50%
Avg Max Decline		4.38%	6.45%	8.71%	8.81%	7.62%	13.74%	10.72%	5.21%	10.23%	7.03%	5.92%
Max Decline		12.05%	28.08%	22.15%	23.47%	17.95%	45.02%	23.73%	15.93%	15.02%	19.06%	9.33%
Avg Days To Max Decline		13	17	17	19	16	19	17	11	20	15	10
Avg Max Increase		-1.50%	-1.53%	-1.75%	-2.53%	-3.82%	-2.88%	-2.31%	-2.05%	-3.43%	-2.37%	-0.45%
Max Increase		-2.76%	-3.41%	-3.52%	-8.05%	-12.00%	-5.50%	-3.73%	-5.32%	-6.55%	-6.12%	-2.25%
Avg Days to Max Increase		7	5	7	9	14	11	11	7	14	5	3
2010 Contract Condition								Yes			Yes
Action								No			Yes
High	820.80	872.20	917.40	942.20	986.50	1029.10	1070.90	1093.70	1106.30	1128.20	1147.90	1112.70
Low	657.80	770.30	853.00	877.00	857.20	967.20	983.80	1010.80	1021.00	1081.00	1066.70	1041.00
Close/Last	785.30	860.00	905.50	907.30	976.10	1010.80	1048.40	1028.00	1089.90	1110.70	1070.40	1103.40