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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 Apr 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   25 27 28 28 28 28 28 29 29 29 29
Closed Higher   16 19 21 17 16 19 18 19 16 12 18
Exceeded High   14 19 20 15 13 16 17 16 11 11 11
Scenario Percentage   88% 100% 95% 88% 81% 84% 94% 84% 69% 92% 61%
Avg Max Increase   7.45% 5.19% 5.36% 6.00% 5.42% 6.65% 5.06% 4.53% 6.16% 3.38% 2.28%
Max Increase   13.89% 13.82% 12.33% 13.22% 10.71% 16.76% 12.53% 12.17% 13.44% 6.59% 5.60%
Avg Days To Max Increase   20 16 15 15 14 17 16 18 19 12 9
Avg Max Decline   -1.01% -1.72% -1.85% -1.32% -0.68% -1.54% -1.62% -1.60% -2.00% -1.86% -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 14 6 5 4 9 9 11 10 11 3
2011 Contract Condition   Yes Yes Yes Yes Yes   Yes        
Action   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   25 27 28 28 28 28 28 29 29 29 29
Closed Lower   9 8 7 11 12 9 10 10 13 17 11
Penetrated Low   4 5 4 9 7 7 4 9 8 11 3
Scenario Percentage   44% 63% 57% 82% 58% 78% 40% 90% 62% 65% 27%
Avg Max Decline   10.71% 5.94% 10.24% 6.63% 7.37% 3.27% 4.64% 6.41% 9.50% 7.43% 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 19 15 10 13 15 16 12 8
Avg Max Increase   -2.34% -1.78% -3.12% -2.33% -1.07% -1.63% -1.80% -1.79% -1.90% -1.91% -2.69%
Max Increase   -3.73% -4.90% -6.26% -5.98% -6.16% -5.74% -2.88% -4.15% -3.36% -8.20% -5.24%
Avg Days to Max Increase   11 6 14 8 8 6 7 7 7 5 4
2011 Contract Condition             Yes   Yes      
Action             Not Yet          
High 1136.80 1177.50 1208.60 1247.30 1288.00 1332.60 1322.40 1358.60 1361.60      
Low 1061.90 1112.10 1156.10 1190.00 1248.80 1281.20 1239.90 1285.30 1349.90      
Close/Last 1122.10 1164.40 1165.30 1243.10 1272.60 1316.10 1315.80 1354.40 1352.40      

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