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