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