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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December S & P 500(CME) as of Dec 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   24 28 28 28 29 29 29 29 29 29 29
Closed Higher   14 17 19 18 19 16 12 18 13 18 19
Exceeded High   12 14 16 17 16 12 12 13 13 14 15
Scenario Percentage   86% 82% 84% 94% 84% 75% 100% 72% 100% 78% 79%
Avg Max Increase   6.03% 5.14% 6.57% 4.97% 4.49% 5.97% 3.89% 5.48% 5.96% 6.81% 2.77%
Max Increase   13.15% 10.77% 16.75% 12.49% 12.15% 13.41% 9.74% 19.72% 16.59% 11.44% 4.35%
Avg Days To Max Increase   16 15 18 16 18 17 17 13 20 11 9
Avg Max Decline   -1.15% -0.60% -1.51% -1.60% -1.48% -1.26% -2.16% -1.68% -2.61% -1.13% -0.53%
Max Decline   -5.09% -2.00% -6.03% -4.65% -5.27% -5.48% -5.54% -3.25% -9.45% -3.88% -1.43%
Avg Days to Max Decline   5 6 7 9 13 6 12 8 7 6 3
2010 Contract Condition     Yes Yes Yes     Yes   Yes Yes  
Action     Yes Yes No     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   24 28 28 28 29 29 29 29 29 29 29
Closed Lower   10 11 9 10 10 13 17 10 16 11 10
Penetrated Low   9 7 7 4 9 8 13 8 10 4 4
Scenario Percentage   90% 64% 78% 40% 90% 62% 76% 80% 63% 36% 40%
Avg Max Decline   6.76% 7.39% 3.28% 4.55% 6.38% 9.28% 8.74% 7.58% 12.70% 10.01% 2.54%
Max Decline   19.09% 13.47% 4.26% 12.01% 27.76% 21.90% 23.21% 17.74% 44.45% 23.60% 4.83%
Avg Days To Max Decline   16 15 11 13 14 15 19 16 18 19 7
Avg Max Increase   -2.19% -1.07% -1.60% -1.73% -1.78% -1.77% -2.60% -4.12% -2.68% -2.43% -1.01%
Max Increase   -5.93% -6.26% -5.53% -2.77% -3.96% -3.62% -8.12% -11.95% -5.46% -4.23% -1.76%
Avg Days to Max Increase   4 7 6 7 7 6 9 14 10 11 3
2010 Contract Condition   Yes       Yes Yes   Yes     Yes
Action   Yes       Yes Yes   No     Not Yet
High 1114.50 1134.20 1096.40 1166.90 1206.00 1192.20 1122.90 1111.80 1121.80 1153.50 1193.00 1224.50
Low 1068.70 1053.30 1026.50 1093.70 1162.40 1030.60 1018.50 1001.60 1033.00 1056.50 1127.00 1171.00
Close/Last 1098.10 1056.50 1088.70 1155.70 1174.20 1080.10 1022.10 1093.60 1043.30 1136.70 1179.70 1179.60

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