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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 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   26 29 29 29 29 29 29 29 29 29 30
Closed Higher   11 19 14 18 20 22 19 17 19 19 19
Exceeded High   11 13 13 15 20 21 17 14 16 17 14
Scenario Percentage   100% 68% 93% 83% 100% 95% 89% 82% 84% 89% 74%
Avg Max Increase   3.94% 5.75% 6.00% 7.44% 5.50% 5.48% 5.80% 5.28% 6.69% 4.61% 2.45%
Max Increase   9.67% 19.35% 16.77% 13.74% 13.76% 12.67% 13.16% 10.75% 16.88% 11.80% 5.69%
Avg Days To Max Increase   19 15 19 21 17 15 17 15 17 10 7
Avg Max Decline   -1.66% -1.44% -2.40% -1.18% -1.61% -1.85% -1.32% -1.10% -1.62% -1.39% -0.37%
Max Decline   -5.57% -3.31% -9.21% -5.77% -5.55% -6.34% -5.18% -6.03% -5.91% -4.79% -1.53%
Avg Days to Max Decline   8 8 7 8 14 6 5 5 8 4 2
2011 Contract Condition   Yes   Yes Yes Yes Yes Yes Yes   Yes  
Action   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   26 29 29 29 29 29 29 29 29 29 30
Closed Lower   15 10 15 10 9 7 10 12 10 10 10
Penetrated Low   11 8 9 4 6 4 9 7 7 4 6
Scenario Percentage   73% 80% 60% 40% 67% 57% 90% 58% 70% 40% 60%
Avg Max Decline   8.03% 7.40% 13.39% 10.71% 5.13% 10.18% 6.68% 7.36% 3.31% 3.87% 4.18%
Max Decline   21.10% 15.32% 42.85% 23.85% 15.58% 14.67% 19.01% 13.27% 4.41% 9.21% 8.38%
Avg Days To Max Decline   18 16 19 17 11 20 19 15 10 10 11
Avg Max Increase   -2.17% -3.72% -2.98% -2.30% -1.92% -3.22% -2.37% -1.14% -1.63% -1.86% -1.13%
Max Increase   -6.51% -12.09% -6.02% -3.72% -5.01% -6.30% -5.92% -6.13% -5.66% -2.96% -3.36%
Avg Days to Max Increase   8 13 11 11 5 14 8 9 6 7 3
2011 Contract Condition     Yes             Yes   Yes
Action     No             No   Yes
High 1116.00 1103.20 1112.90 1141.30 1182.50 1213.40 1253.00 1292.90 1337.50 1327.50 1363.70 1372.80
Low 1013.00 994.10 1024.40 1065.90 1116.60 1160.80 1194.50 1253.50 1286.10 1241.50 1290.50 1302.50
Close/Last 1014.60 1084.80 1033.50 1126.60 1169.40 1169.80 1247.90 1277.50 1321.10 1321.00 1359.70 1343.90

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