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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September S & P 500(CME) as of May 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   24 26 27 27 27 27 27 28 28 28 28
Closed Higher   16 18 20 17 15 18 17 19 16 11 18
Exceeded High   14 18 19 15 12 15 17 16 11 10 11
Scenario Percentage   88% 100% 95% 88% 80% 83% 100% 84% 69% 91% 61%
Avg Max Increase   7.45% 5.20% 5.47% 6.00% 4.98% 6.80% 5.06% 4.53% 6.16% 3.54% 2.36%
Max Increase   13.89% 13.82% 12.33% 13.22% 9.38% 16.76% 12.53% 12.17% 13.44% 7.32% 5.60%
Avg Days To Max Increase   20 16 15 15 13 17 16 18 19 13 9
Avg Max Decline   -1.01% -1.77% -2.02% -1.32% -0.77% -1.67% -1.62% -1.60% -2.00% -2.08% -1.06%
Max Decline   -5.36% -5.48% -6.45% -5.10% -1.90% -5.91% -4.72% -5.26% -8.31% -3.75% -2.80%
Avg Days to Max Decline   7 15 6 5 4 9 9 11 10 11 3
2010 Contract Condition     Yes Yes   Yes Yes Yes        
Action     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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   24 26 27 27 27 27 27 28 28 28 28
Closed Lower   8 8 7 10 12 9 10 9 12 17 10
Penetrated Low   4 5 4 8 7 7 4 8 7 12 3
Scenario Percentage   50% 63% 57% 80% 58% 78% 40% 89% 58% 71% 30%
Avg Max Decline   10.71% 5.94% 10.24% 7.11% 7.37% 3.27% 4.64% 6.28% 10.53% 7.29% 3.56%
Max Decline   24.17% 15.81% 14.84% 19.06% 13.25% 4.32% 12.34% 27.84% 22.10% 16.65% 5.43%
Avg Days To Max Decline   17 13 20 20 15 10 13 16 17 12 8
Avg Max Increase   -2.34% -1.78% -3.12% -2.26% -1.07% -1.63% -1.80% -1.50% -2.01% -2.05% -2.69%
Max Increase   -3.73% -4.90% -6.26% -5.98% -6.16% -5.74% -2.88% -3.36% -3.36% -8.20% -5.24%
Avg Days to Max Increase   11 6 14 8 8 6 7 6 7 5 4
2010 Contract Condition   Yes     Yes       Yes Yes    
Action   No     Yes       Not Yet      
High 1064.10 1086.60 1098.20 1118.00 1137.20 1101.00 1171.30 1210.60 1196.80 1089.00    
Low 977.80 1003.90 1013.70 1072.20 1057.50 1031.00 1098.50 1165.00 1034.80 1065.00    
Close/Last 1041.50 1020.70 1081.20 1101.60 1060.70 1093.50 1160.30 1178.80 1084.20 1065.20    

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