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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 Jan 01, 2013
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   27 29 30 30 30 30 30 31 31 31 31
Closed Higher   18 20 23 19 18 20 19 19 17 13 19
Exceeded High   15 20 22 17 15 17 18 16 12 12 13
Scenario Percentage   83% 100% 96% 89% 83% 85% 95% 84% 71% 92% 68%
Avg Max Increase   7.43% 5.46% 5.63% 6.08% 5.17% 6.32% 4.81% 4.53% 6.06% 4.01% 2.95%
Max Increase   13.89% 13.82% 12.33% 13.22% 10.71% 16.76% 12.53% 12.17% 13.44% 9.20% 5.66%
Avg Days To Max Increase   21 16 16 16 14 17 15 18 19 15 11
Avg Max Decline   -0.99% -1.53% -1.63% -1.08% -1.13% -1.47% -1.55% -1.60% -2.05% -2.35% -1.14%
Max Decline   -5.36% -5.48% -6.45% -5.10% -5.79% -5.91% -4.72% -5.26% -8.31% -5.54% -2.80%
Avg Days to Max Decline   7 13 6 4 5 8 9 11 10 12 3
2012 Contract Condition   Yes   Yes Yes Yes Yes     Yes Yes Yes
Action   No   Yes 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   27 29 30 30 30 30 30 31 31 31 31
Closed Lower   9 9 7 11 12 10 11 12 14 18 12
Penetrated Low   4 5 4 9 7 7 5 11 9 13 3
Scenario Percentage   44% 56% 57% 82% 58% 70% 45% 92% 64% 72% 25%
Avg Max Decline   10.71% 5.94% 10.24% 6.63% 7.37% 3.27% 5.55% 6.13% 10.46% 9.01% 6.52%
Max Decline   24.17% 15.81% 14.84% 19.06% 13.25% 4.32% 12.34% 27.84% 22.10% 19.32% 13.62%
Avg Days To Max Decline   17 13 20 19 15 10 11 14 15 13 12
Avg Max Increase   -2.34% -1.78% -3.12% -2.33% -1.07% -1.63% -1.70% -1.31% -2.02% -2.02% -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 6 6 7 5 4
2012 Contract Condition     Yes         Yes Yes      
Action     No         Yes Yes      
High 1204.30 1271.30 1257.30 1252.70 1317.60 1364.00 1408.90 1411.00 1405.20 1359.50 1387.30 1424.60
Low 1090.10 1053.60 1137.00 1185.30 1251.30 1306.80 1327.50 1346.80 1284.40 1259.50 1320.00 1350.00
Close/Last 1108.50 1232.10 1229.20 1241.90 1296.30 1352.50 1397.00 1387.20 1302.60 1356.40 1374.60 1405.10

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