MRCI's ScenarioSM Study

ScenarioSM Study for June S & P 500(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	22	25	25	25	25	25	25	25	25	25	26
Closed Higher	9	16	11	16	18	19	18	15	17	15	17
Exceeded High	9	11	10	14	18	18	16	12	14	14	13
Scenario Percentage	100%	69%	91%	88%	100%	95%	89%	80%	82%	93%	76%
Avg Max Increase	3.16%	5.47%	6.16%	7.46%	5.23%	5.57%	5.87%	4.99%	6.12%	4.40%	2.17%
Max Increase	5.86%	19.35%	16.77%	13.74%	13.76%	12.67%	13.16%	9.51%	14.04%	11.80%	5.51%
Avg Days To Max Increase	18	14	21	20	16	16	17	13	18	9	6
Avg Max Decline	-1.31%	-1.25%	-2.74%	-1.22%	-1.86%	-2.25%	-1.44%	-0.81%	-1.72%	-1.57%	-0.33%
Max Decline	-3.05%	-3.31%	-9.21%	-5.77%	-5.55%	-6.34%	-5.18%	-1.92%	-5.91%	-4.79%	-1.32%
Avg Days to Max Decline	5	8	9	7	15	6	5	4	9	4	1
2007 Contract Condition	Yes	Yes	Yes	Yes	Yes	Yes	Yes		Yes	Yes	Yes
Action	Yes	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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	22	25	25	25	25	25	25	25	25	25	26
Closed Lower	13	9	14	8	7	6	7	10	8	10	8
Penetrated Low	9	8	8	3	5	3	6	5	7	4	7
Scenario Percentage	69%	89%	57%	38%	71%	50%	86%	50%	88%	40%	88%
Avg Max Decline	7.84%	7.40%	10.41%	6.33%	3.03%	8.68%	4.82%	6.77%	3.31%	3.30%	19.84%
Max Decline	21.10%	15.32%	42.85%	13.01%	5.17%	9.07%	7.75%	13.27%	4.41%	6.93%	36.93%
Avg Days To Max Decline	17	16	19	16	9	19	23	16	10	10	12
Avg Max Increase	-1.90%	-3.72%	-3.33%	-1.83%	-1.77%	-4.27%	-1.86%	-2.21%	-1.63%	-1.86%	-2.49%
Max Increase	-6.51%	-12.09%	-6.02%	-2.52%	-5.01%	-6.30%	-4.08%	-6.13%	-5.66%	-2.96%	-4.70%
Avg Days to Max Increase	8	13	12	14	4	18	10	11	6	7	5
2007 Contract Condition								Yes
Action								Yes
High	1323.40	1342.50	1371.20	1419.00	1434.40	1455.80	1459.50	1477.50	1451.00	1504.80	1537.70
Low	1266.70	1299.00	1324.80	1359.40	1390.70	1412.80	1426.00	1402.00	1375.90	1426.00	1482.20
Close/Last	1315.10	1339.40	1367.90	1406.90	1426.80	1441.10	1456.20	1421.50	1431.20	1488.40	1532.90