|
 |
| 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 |
|
|
|
|
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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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
