MRCI's ScenarioSM Study

ScenarioSM Study for December S & P 500(CME) as of Jan 01, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	23	27	27	27	28	28	28	28	28	28	28
Closed Higher	14	16	18	17	19	16	11	18	12	17	19
Exceeded High	12	13	15	17	16	12	11	13	12	13	15
Scenario Percentage	86%	81%	83%	100%	84%	75%	100%	72%	100%	76%	79%
Avg Max Increase	6.03%	4.71%	6.72%	4.97%	4.49%	5.97%	3.75%	5.48%	5.82%	7.03%	2.87%
Max Increase	13.15%	9.38%	16.75%	12.49%	12.15%	13.41%	9.74%	19.72%	16.59%	13.00%	5.66%
Avg Days To Max Increase	16	14	17	16	18	17	16	13	21	12	9
Avg Max Decline	-1.15%	-0.68%	-1.65%	-1.60%	-1.48%	-1.26%	-1.86%	-1.68%	-2.76%	-1.17%	-0.53%
Max Decline	-5.09%	-2.00%	-6.03%	-4.65%	-5.27%	-5.48%	-3.69%	-3.25%	-9.45%	-3.88%	-1.43%
Avg Days to Max Decline	5	6	7	9	13	6	11	8	7	5	3
2009 Contract Condition			Yes	Yes	Yes	Yes	Yes	Yes	Yes		Yes
Action			Yes	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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	23	27	27	27	28	28	28	28	28	28	28
Closed Lower	9	11	9	10	9	12	17	9	16	11	9
Penetrated Low	8	7	7	4	8	7	13	8	10	4	8
Scenario Percentage	89%	64%	78%	40%	89%	58%	76%	89%	62%	36%	89%
Avg Max Decline	7.25%	7.39%	3.28%	4.55%	6.27%	10.32%	8.74%	7.58%	12.70%	10.01%	9.74%
Max Decline	19.09%	13.47%	4.26%	12.01%	27.76%	21.90%	23.21%	17.74%	44.45%	23.60%	16.13%
Avg Days To Max Decline	17	15	11	13	16	17	19	16	18	19	21
Avg Max Increase	-2.10%	-1.07%	-1.60%	-1.73%	-1.50%	-1.99%	-2.60%	-4.12%	-2.68%	-2.43%	-2.78%
Max Increase	-5.93%	-6.26%	-5.53%	-2.77%	-3.42%	-3.62%	-8.12%	-11.95%	-5.46%	-4.23%	-7.28%
Avg Days to Max Increase	5	7	6	7	6	7	9	14	10	11	9
2009 Contract Condition	Yes	Yes								Yes
Action	Yes	Yes								Not Yet
High	931.10	862.50	821.80	874.80	920.00	945.20	990.50	1033.50	1075.50	1099.00	1112.10
Low	791.10	724.10	658.80	773.00	855.60	880.40	861.40	972.00	987.00	1012.10	1026.20
Close/Last	814.20	725.70	788.00	862.60	909.30	911.30	980.00	1015.20	1052.90	1033.00	1094.80