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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 Dec 30, 2011
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   26 28 29 29 29 29 29 29 29 29 29
Closed Higher   17 17 14 12 19 14 18 20 22 19 17
Exceeded High   16 14 9 11 14 14 15 20 22 17 12
Scenario Percentage   94% 82% 64% 92% 74% 100% 83% 100% 100% 89% 71%
Avg Max Increase   4.87% 4.59% 6.96% 4.13% 5.40% 5.75% 7.65% 5.47% 5.25% 4.93% 3.09%
Max Increase   12.41% 12.17% 13.42% 9.71% 19.53% 16.68% 13.57% 13.40% 12.72% 11.01% 5.15%
Avg Days To Max Increase   14 18 18 17 14 18 19 15 14 12 10
Avg Max Decline   -1.52% -1.45% -1.03% -2.03% -1.62% -2.60% -1.48% -1.65% -1.98% -1.39% -0.57%
Max Decline   -4.82% -5.33% -5.52% -5.51% -4.25% -9.43% -5.70% -5.53% -6.31% -5.15% -1.89%
Avg Days to Max Decline   9 11 7 11 10 7 7 13 6 5 2
2011 Contract Condition   Yes     Yes   Yes Yes Yes Yes Yes Yes
Action   No     Yes   Yes Yes Yes Yes Yes Not Yet
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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   26 28 29 29 29 29 29 29 29 29 29
Closed Lower   9 11 15 17 10 15 11 9 7 10 12
Penetrated Low   4 10 10 13 8 9 4 6 4 7 6
Scenario Percentage   44% 91% 67% 76% 80% 60% 36% 67% 57% 70% 50%
Avg Max Decline   4.38% 6.54% 8.04% 8.81% 7.62% 13.74% 10.72% 5.21% 10.23% 7.03% 5.74%
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 15 15 19 16 19 17 11 20 15 9
Avg Max Increase   -1.50% -1.77% -1.59% -2.53% -3.82% -2.88% -2.31% -2.05% -3.43% -2.37% -0.45%
Max Increase   -2.76% -3.93% -3.52% -8.05% -12.00% -5.50% -3.73% -5.32% -6.55% -6.12% -2.25%
Avg Days to Max Increase   7 6 7 9 14 11 11 7 14 5 3
2011 Contract Condition     Yes Yes   Yes            
Action     Yes Yes   No            
High 1164.90 1201.90 1188.10 1119.00 1107.20 1117.10 1146.10 1187.40 1219.00 1258.50 1299.40 1342.80
Low 1091.70 1158.30 1026.70 1016.00 997.60 1028.90 1070.60 1121.40 1165.70 1193.50 1255.80 1281.40
Close/Last 1152.20 1170.10 1076.70 1018.10 1088.90 1038.20 1131.40 1174.40 1174.60 1253.00 1282.40 1326.10

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