MRCI's ScenarioSM Study

ScenarioSM Study for June S & P 500(CME) as of Jan 01, 2014
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		28	31	31	31	31	31	31	31	31	31	32
Closed Higher		12	20	15	19	21	24	21	19	21	20	20
Exceeded High		12	14	14	15	21	23	19	16	17	18	14
Scenario Percentage		100%	70%	93%	79%	100%	96%	90%	84%	81%	90%	70%
Avg Max Increase		4.21%	5.70%	5.73%	7.44%	5.57%	5.75%	5.94%	5.22%	6.76%	4.80%	2.61%
Max Increase		9.67%	19.35%	16.77%	13.74%	13.76%	12.67%	13.16%	10.75%	16.88%	12.31%	6.00%
Avg Days To Max Increase		19	14	18	21	17	16	18	17	18	12	9
Avg Max Decline		-1.67%	-1.38%	-2.23%	-1.18%	-1.62%	-1.59%	-1.17%	-1.15%	-1.65%	-1.42%	-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	6	5	8	6	2
2013 Contract Condition		Yes	Yes	Yes		Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes	Yes	Yes		Yes	Yes	Yes	Yes	Yes	Yes	Not Yet

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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		28	31	31	31	31	31	31	31	31	31	32
Closed Lower		16	11	16	11	10	7	10	12	10	11	11
Penetrated Low		12	9	10	5	6	4	9	7	7	5	7
Scenario Percentage		75%	82%	63%	45%	60%	57%	90%	58%	70%	45%	64%
Avg Max Decline		8.61%	7.89%	12.54%	9.48%	5.13%	10.18%	6.68%	7.36%	3.31%	4.98%	4.14%
Max Decline		21.10%	15.32%	42.85%	23.85%	15.58%	14.67%	19.01%	13.27%	4.41%	9.42%	8.38%
Avg Days To Max Decline		17	15	17	17	11	20	19	15	10	9	11
Avg Max Increase		-2.09%	-3.39%	-2.75%	-2.18%	-1.92%	-3.22%	-2.37%	-1.14%	-1.63%	-1.75%	-0.95%
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		7	12	10	9	5	14	8	9	6	6	3
2013 Contract Condition					Yes
Action					Yes
High	1339.60	1365.70	1400.50	1451.40	1453.00	1416.30	1435.50	1498.60	1522.00	1564.30	1594.00	1685.50
Low	1240.40	1302.30	1330.50	1376.90	1385.30	1329.50	1374.80	1437.30	1477.40	1495.40	1531.00	1576.20
Close/Last	1336.60	1353.70	1383.90	1420.40	1392.90	1401.10	1413.30	1486.80	1507.40	1562.70	1592.20	1629.00