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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for NASDAQ Composite Index as of Jan 01, 2009
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   12 13 13 13 14 14 14 14 14 14 14
Closed Higher   8 4 6 8 8 8 5 8 8 8 10
Exceeded High   5 4 5 7 8 6 5 7 8 6 7
Scenario Percentage   63% 100% 83% 88% 100% 75% 100% 88% 100% 75% 70%
Avg Max Increase   4.93% 9.90% 8.40% 8.95% 7.47% 9.76% 6.21% 7.86% 9.70% 17.79% 7.48%
Max Increase   13.67% 12.12% 19.09% 16.38% 18.33% 13.62% 10.30% 12.37% 26.34% 37.90% 22.62%
Avg Days To Max Increase   20 22 25 18 20 19 14 18 20 20 15
Avg Max Decline   -0.77% -2.93% -1.93% -1.96% -1.23% -1.29% -2.55% -1.48% -4.16% -0.98% -1.21%
Max Decline   -2.86% -6.30% -5.34% -8.01% -2.29% -3.68% -5.42% -3.92% -20.66% -2.80% -3.71%
Avg Days to Max Decline   5 6 8 12 6 2 6 14 10 4 3
2008 Contract Condition       Yes Yes Yes   Yes Yes      
Action       Yes Yes Yes   Yes No      
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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   12 13 13 13 14 14 14 14 14 14 14
Closed Lower   4 9 7 5 6 6 9 6 6 6 4
Penetrated Low   3 7 5 4 4 5 7 5 4 3 1
Scenario Percentage   75% 78% 71% 80% 67% 83% 78% 83% 67% 50% 25%
Avg Max Decline   8.88% 8.94% 11.78% 13.33% 11.58% 10.06% 12.91% 12.44% 19.71% 21.29% 11.93%
Max Decline   12.28% 24.74% 33.46% 21.19% 27.12% 19.10% 31.57% 23.17% 36.80% 32.10% 11.93%
Avg Days To Max Decline   14 17 19 20 17 18 13 15 18 18 21
Avg Max Increase   -1.29% -2.75% -1.93% -2.73% -2.60% -1.38% -2.20% -6.76% -1.25% -3.51% -16.58%
Max Increase   -2.45% -12.40% -4.26% -4.21% -7.30% -4.49% -7.42% -18.04% -4.32% -3.82% -16.58%
Avg Days to Max Increase   11 5 5 7 5 5 8 18 2 10 11
2008 Contract Condition   Yes Yes       Yes     Yes Yes Yes
Action   Yes Yes       Yes     Yes Yes Not Yet
High 2724.40 2609.60 2413.40 2341.10 2428.90 2533.70 2549.90 2329.70 2453.70 2349.20 2069.40 1780.10
Low 2574.50 2292.30 2271.50 2169.30 2275.80 2444.70 2293.00 2212.90 2285.60 1983.70 1505.90 1316.10
Close/Last 2652.30 2389.90 2271.50 2279.10 2412.80 2522.70 2293.00 2325.60 2367.50 2082.30 1721.00 1535.60

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