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| MRCI's ScenarioSM Study |
| ScenarioSM Study for NASDAQ Composite Index as of Sep 29, 2006 |
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 |
9 |
10 |
10 |
10 |
11 |
11 |
11 |
11 |
11 |
11 |
11 |
| Closed Higher |
6 |
4 |
4 |
6 |
6 |
8 |
4 |
5 |
6 |
6 |
9 |
| Exceeded High |
3 |
4 |
3 |
5 |
6 |
6 |
4 |
5 |
6 |
5 |
7 |
| Scenario Percentage |
50% |
100% |
75% |
83% |
100% |
75% |
100% |
100% |
100% |
83% |
78% |
| Avg Max Increase |
6.88% |
9.90% |
11.04% |
10.59% |
9.04% |
9.76% |
6.38% |
7.19% |
10.43% |
20.01% |
7.15% |
| Max Increase |
13.67% |
12.12% |
19.09% |
16.38% |
18.33% |
13.62% |
10.30% |
12.37% |
26.34% |
36.24% |
21.14% |
| Avg Days To Max Increase |
16 |
22 |
26 |
20 |
23 |
19 |
14 |
14 |
18 |
13 |
11 |
| Avg Max Decline |
-0.14% |
-2.93% |
-2.81% |
-3.01% |
-0.98% |
-1.29% |
-2.76% |
-1.53% |
-5.54% |
-0.87% |
-0.68% |
| Max Decline |
-0.22% |
-6.30% |
-5.34% |
-8.01% |
-1.77% |
-3.68% |
-5.42% |
-3.92% |
-20.66% |
-2.80% |
-2.61% |
| Avg Days to Max Decline |
1 |
6 |
10 |
10 |
7 |
2 |
7 |
16 |
10 |
5 |
2 |
| 2006 Contract Condition |
Yes |
|
Yes |
|
|
|
|
Yes |
Yes |
|
|
| Action |
Yes |
|
Yes |
|
|
|
|
Yes |
Not Yet |
|
|
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 |
9 |
10 |
10 |
10 |
11 |
11 |
11 |
11 |
11 |
11 |
11 |
| Closed Lower |
3 |
6 |
6 |
4 |
5 |
3 |
7 |
6 |
5 |
5 |
2 |
| Penetrated Low |
2 |
5 |
5 |
3 |
3 |
2 |
6 |
5 |
3 |
2 |
1 |
| Scenario Percentage |
67% |
83% |
83% |
75% |
60% |
67% |
86% |
83% |
60% |
40% |
50% |
| Avg Max Decline |
8.70% |
10.49% |
11.78% |
14.19% |
13.02% |
17.00% |
14.44% |
12.44% |
14.01% |
20.18% |
25.93% |
| Max Decline |
12.28% |
24.74% |
33.46% |
21.19% |
27.12% |
19.10% |
31.57% |
23.17% |
31.31% |
32.10% |
25.93% |
| Avg Days To Max Decline |
17 |
21 |
19 |
22 |
16 |
19 |
13 |
15 |
17 |
18 |
1 |
| Avg Max Increase |
-1.44% |
-4.45% |
-1.93% |
-3.32% |
-2.84% |
-0.52% |
-2.13% |
-6.76% |
-1.87% |
-3.55% |
-16.58% |
| Max Increase |
-2.45% |
-12.40% |
-4.26% |
-4.21% |
-7.30% |
-1.27% |
-7.42% |
-18.04% |
-4.32% |
-3.82% |
-16.58% |
| Avg Days to Max Increase |
16 |
7 |
5 |
6 |
6 |
1 |
8 |
18 |
2 |
13 |
11 |
| 2006 Contract Condition |
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
|
|
|
| Action |
|
No |
|
Yes |
Yes |
Yes |
No |
|
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|
|
| High |
2331.40 |
2310.60 |
2340.80 |
2370.90 |
2345.00 |
2219.90 |
2190.40 |
2185.70 |
2270.00 |
|
|
| Low |
2243.70 |
2239.80 |
2249.70 |
2310.40 |
2158.80 |
2072.50 |
2020.40 |
2057.70 |
2155.30 |
|
|
| Close/Last |
2305.80 |
2281.40 |
2339.80 |
2322.60 |
2178.90 |
2172.10 |
2091.50 |
2183.80 |
2258.40 |
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