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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, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 24 26 27 27 27 27 27 28 28 28 28
Closed Higher 16 18 20 17 15 18 17 19 16 11 18
Exceeded High 14 18 19 15 12 15 17 16 11 10 11
Scenario Percentage 88% 100% 95% 88% 80% 83% 100% 84% 69% 91% 61%
Avg Max Increase 7.45% 5.20% 5.47% 6.00% 4.98% 6.80% 5.06% 4.53% 6.16% 3.66% 2.54%
Max Increase 13.89% 13.82% 12.33% 13.22% 9.38% 16.76% 12.53% 12.17% 13.44% 8.57% 5.66%
Avg Days To Max Increase 20 16 15 15 13 17 16 18 19 13 9
Avg Max Decline -1.01% -1.77% -2.02% -1.32% -0.77% -1.67% -1.62% -1.60% -2.00% -2.08% -1.06%
Max Decline -5.36% -5.48% -6.45% -5.10% -1.90% -5.91% -4.72% -5.26% -8.31% -3.75% -2.80%
Avg Days to Max Decline 7 15 6 5 4 9 9 11 10 11 3
2009 Contract Condition     Yes     Yes Yes Yes Yes Yes Yes
Action     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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 24 26 27 27 27 27 27 28 28 28 28
Closed Lower 8 8 7 10 12 9 10 9 12 17 10
Penetrated Low 4 5 4 8 7 7 4 8 7 12 8
Scenario Percentage 50% 62% 57% 80% 58% 78% 40% 89% 58% 71% 80%
Avg Max Decline 10.71% 5.94% 10.24% 7.11% 7.37% 3.27% 4.64% 6.28% 10.53% 7.48% 19.26%
Max Decline 24.17% 15.81% 14.84% 19.06% 13.25% 4.32% 12.34% 27.84% 22.10% 16.65% 33.72%
Avg Days To Max Decline 17 13 20 20 15 10 13 16 17 12 18
Avg Max Increase -2.34% -1.78% -3.12% -2.26% -1.07% -1.63% -1.80% -1.50% -2.01% -2.05% -3.79%
Max Increase -3.73% -4.90% -6.26% -5.98% -6.16% -5.74% -2.88% -3.36% -3.36% -8.20% -9.96%
Avg Days to Max Increase 11 6 14 8 8 6 7 6 7 5 11
2009 Contract Condition Yes Yes   Yes Yes            
Action Yes No   Yes Yes            
High 1175.10 1002.30 914.90 933.10 865.00 825.00 878.10 923.90 952.50 994.00 1038.50
Low 833.00 732.70 810.70 794.10 726.90 660.60 776.30 859.00 884.30 865.50 975.80
Close/Last 966.30 891.70 894.80 816.20 728.20 791.30 866.00 913.60 915.50 984.40 1019.70

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