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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 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   26 30 30 30 31 31 31 31 31 31 31
Closed Higher   16 19 20 19 19 17 13 19 14 19 20
Exceeded High   14 16 17 18 16 13 13 14 13 14 16
Scenario Percentage   88% 84% 85% 95% 84% 76% 100% 74% 93% 74% 80%
Avg Max Increase   6.13% 4.94% 6.25% 4.72% 4.49% 5.89% 4.16% 5.44% 5.96% 6.98% 2.88%
Max Increase   13.15% 10.77% 16.75% 12.49% 12.15% 13.41% 9.74% 19.72% 16.59% 13.00% 5.66%
Avg Days To Max Increase   17 15 17 15 18 17 17 13 20 12 10
Avg Max Decline   -0.88% -1.04% -1.44% -1.53% -1.48% -1.36% -2.13% -1.60% -2.61% -1.13% -0.55%
Max Decline   -5.09% -5.84% -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 7 11 8 7 6 3
2012 Contract Condition   Yes Yes Yes     Yes Yes Yes Yes   Yes
Action   Yes Yes Yes     Yes Yes Yes No   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   26 30 30 30 31 31 31 31 31 31 31
Closed Lower   10 11 10 11 12 14 18 11 17 12 11
Penetrated Low   9 7 7 5 11 9 14 9 11 5 4
Scenario Percentage   90% 64% 70% 45% 92% 64% 78% 82% 65% 42% 36%
Avg Max Decline   6.76% 7.39% 3.28% 5.49% 6.10% 10.09% 9.17% 8.06% 12.01% 8.95% 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 11 13 14 18 14 17 19 7
Avg Max Increase   -2.19% -1.07% -1.60% -1.65% -1.06% -1.89% -2.50% -3.76% -2.49% -2.29% -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 6 6 6 8 13 9 10 3
2012 Contract Condition         Yes Yes         Yes  
Action         Yes Yes         Yes  
High 1247.10 1311.80 1357.90 1402.50 1404.50 1398.60 1352.60 1379.40 1416.50 1467.50 1466.00 1431.50
Low 1179.60 1245.70 1300.40 1321.10 1340.20 1277.80 1253.00 1315.30 1344.30 1390.00 1393.20 1340.30
Close/Last 1236.30 1290.20 1346.40 1390.50 1380.60 1296.10 1349.60 1367.50 1398.00 1434.20 1406.80 1414.40

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