|
 |
| 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 |
|
|
|
|
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 |
|
|
|
|
|
| Copyright © 2024 Moore Research Center, Inc. All Rights Reserved. |
| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
