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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 24 27 27 27 27 27 27 27 27 27 28
Closed Higher 9 18 12 17 18 20 18 15 18 17 19
Exceeded High 9 12 11 14 18 19 16 12 15 16 14
Scenario Percentage 100% 67% 92% 82% 100% 95% 89% 80% 83% 94% 74%
Avg Max Increase 3.16% 5.55% 5.89% 7.46% 5.23% 5.51% 5.87% 4.99% 6.84% 4.95% 2.59%
Max Increase 5.86% 19.35% 16.77% 13.74% 13.76% 12.67% 13.16% 9.51% 16.88% 11.98% 5.69%
Avg Days To Max Increase 18 14 20 20 16 15 17 13 17 12 9
Avg Max Decline -1.31% -1.34% -2.43% -1.22% -1.86% -2.14% -1.44% -0.81% -1.74% -1.51% -0.37%
Max Decline -3.05% -3.31% -9.21% -5.77% -5.55% -6.34% -5.18% -1.92% -5.91% -4.79% -1.53%
Avg Days to Max Decline 5 8 8 7 15 6 5 4 8 6 2
2009 Contract Condition   Yes       Yes     Yes Yes Yes
Action   No       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 24 27 27 27 27 27 27 27 27 27 28
Closed Lower 15 9 15 9 9 7 9 12 9 10 8
Penetrated Low 11 8 9 4 6 4 8 7 7 4 7
Scenario Percentage 73% 89% 60% 44% 67% 57% 89% 58% 78% 40% 88%
Avg Max Decline 8.03% 7.40% 13.39% 10.71% 5.13% 10.18% 7.16% 7.36% 3.31% 3.87% 20.17%
Max Decline 21.10% 15.32% 42.85% 23.85% 15.58% 14.67% 19.01% 13.27% 4.41% 9.21% 36.93%
Avg Days To Max Decline 18 16 19 17 11 20 20 15 10 10 14
Avg Max Increase -2.17% -3.72% -2.98% -2.30% -1.92% -3.22% -2.31% -1.14% -1.63% -1.86% -2.55%
Max Increase -6.51% -12.09% -6.02% -3.72% -5.01% -6.30% -5.92% -6.13% -5.66% -2.96% -4.70%
Avg Days to Max Increase 8 13 11 11 5 14 8 9 6 7 6
2009 Contract Condition Yes   Yes Yes Yes   Yes Yes      
Action Yes   Yes Yes No   Yes Yes      
High 1301.20 1318.50 1308.30 1174.30 1002.60 916.90 937.00 867.50 830.50 887.10 929.00
Low 1209.30 1254.40 1120.80 833.20 736.10 812.70 797.90 730.50 663.30 779.50 862.50
Close/Last 1272.70 1289.30 1172.30 966.60 893.70 897.60 819.00 731.00 794.80 870.00 918.10

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