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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, 2013
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   27 30 30 30 30 30 30 30 30 30 31
Closed Higher   11 19 14 19 20 23 20 18 20 19 19
Exceeded High   11 13 13 15 20 22 18 15 16 17 14
Scenario Percentage   100% 68% 93% 79% 100% 96% 90% 83% 80% 89% 74%
Avg Max Increase   3.94% 5.75% 6.00% 7.44% 5.50% 5.66% 5.98% 5.19% 6.69% 4.50% 2.32%
Max Increase   9.67% 19.35% 16.77% 13.74% 13.76% 12.67% 13.16% 10.75% 16.88% 11.80% 5.51%
Avg Days To Max Increase   19 15 19 21 17 16 17 16 17 9 6
Avg Max Decline   -1.66% -1.44% -2.40% -1.18% -1.61% -1.73% -1.20% -1.18% -1.62% -1.39% -0.31%
Max Decline   -5.57% -3.31% -9.21% -5.77% -5.55% -6.34% -5.18% -6.03% -5.91% -4.79% -1.32%
Avg Days to Max Decline   8 8 7 8 14 6 5 5 8 4 1
2012 Contract Condition         Yes   Yes Yes Yes Yes    
Action         No   Yes Yes Yes No    
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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   27 30 30 30 30 30 30 30 30 30 31
Closed Lower   16 11 16 10 10 7 10 12 10 11 11
Penetrated Low   12 9 10 4 6 4 9 7 7 5 6
Scenario Percentage   75% 82% 63% 40% 60% 57% 90% 58% 70% 45% 55%
Avg Max Decline   8.61% 7.89% 12.54% 10.71% 5.13% 10.18% 6.68% 7.36% 3.31% 4.53% 4.02%
Max Decline   21.10% 15.32% 42.85% 23.85% 15.58% 14.67% 19.01% 13.27% 4.41% 9.42% 6.09%
Avg Days To Max Decline   17 15 17 17 11 20 19 15 10 8 8
Avg Max Increase   -2.09% -3.39% -2.75% -2.30% -1.92% -3.22% -2.37% -1.14% -1.63% -1.75% -0.55%
Max Increase   -6.51% -12.09% -6.02% -3.72% -5.01% -6.30% -5.92% -6.13% -5.66% -2.96% -1.70%
Avg Days to Max Increase   7 12 10 11 5 14 8 9 6 6 1
2012 Contract Condition   Yes Yes Yes   Yes         Yes Yes
Action   Yes Yes Yes   No         Yes Yes
High 1299.90 1336.90 1287.30 1210.30 1277.30 1263.30 1258.00 1323.60 1370.00 1419.60 1417.50 1411.50
Low 1237.50 1262.70 1082.70 1095.90 1059.60 1142.30 1190.50 1256.60 1313.00 1333.60 1352.50 1287.40
Close/Last 1299.60 1272.30 1201.30 1114.50 1238.10 1234.50 1247.20 1302.50 1358.60 1403.20 1393.60 1309.20

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