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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, 2013
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   27 29 30 30 30 30 30 30 30 30 30
Closed Higher   18 17 14 12 19 14 19 20 23 20 18
Exceeded High   17 14 9 11 14 14 15 20 23 17 13
Scenario Percentage   94% 82% 64% 92% 74% 100% 79% 100% 100% 85% 72%
Avg Max Increase   4.62% 4.59% 6.96% 4.13% 5.40% 5.75% 7.65% 5.47% 5.44% 5.16% 2.92%
Max Increase   12.41% 12.17% 13.42% 9.71% 19.53% 16.68% 13.57% 13.40% 12.72% 11.01% 4.68%
Avg Days To Max Increase   14 18 18 17 14 18 19 15 15 11 9
Avg Max Decline   -1.45% -1.45% -1.03% -2.03% -1.62% -2.60% -1.48% -1.65% -1.87% -1.28% -0.71%
Max Decline   -4.82% -5.33% -5.52% -5.51% -4.25% -9.43% -5.70% -5.53% -6.31% -5.15% -2.38%
Avg Days to Max Decline   9 11 7 11 10 7 7 13 6 5 2
2012 Contract Condition   Yes           Yes   Yes Yes Yes
Action   Yes           No   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   27 29 30 30 30 30 30 30 30 30 30
Closed Lower   9 12 16 18 11 16 11 10 7 10 12
Penetrated Low   4 11 11 14 9 10 4 6 4 7 6
Scenario Percentage   44% 92% 69% 78% 82% 63% 36% 60% 57% 70% 50%
Avg Max Decline   4.38% 6.53% 8.82% 9.24% 8.11% 12.89% 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 14 17 17 11 20 15 9
Avg Max Increase   -1.50% -1.41% -1.71% -2.43% -3.48% -2.66% -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 8 12 10 11 7 14 5 3
2012 Contract Condition     Yes Yes Yes Yes Yes   Yes      
Action     Yes Yes Yes Yes Yes   No      
High 1314.10 1348.60 1351.60 1304.90 1341.90 1292.30 1215.40 1282.40 1268.50 1264.30 1329.50 1377.00
Low 1229.90 1275.40 1294.70 1242.50 1267.70 1087.90 1100.80 1061.50 1147.40 1195.50 1259.80 1303.80
Close/Last 1306.10 1344.40 1327.90 1304.60 1277.30 1206.40 1119.60 1243.30 1240.10 1252.60 1308.20 1364.40

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