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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March NASDAQ 100(CME) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jun |
Jun |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
8 |
9 |
9 |
9 |
9 |
9 |
9 |
9 |
| Closed Higher |
|
|
|
3 |
4 |
5 |
7 |
8 |
4 |
5 |
3 |
| Exceeded High |
|
|
|
2 |
4 |
5 |
7 |
8 |
3 |
2 |
2 |
| Scenario Percentage |
|
|
|
67% |
100% |
100% |
100% |
100% |
75% |
40% |
67% |
| Avg Max Increase |
|
|
|
6.56% |
8.53% |
15.74% |
20.45% |
13.33% |
12.60% |
6.99% |
7.16% |
| Max Increase |
|
|
|
9.35% |
17.17% |
29.81% |
41.20% |
35.77% |
16.77% |
12.73% |
12.19% |
| Avg Days To Max Increase |
|
|
|
12 |
15 |
23 |
17 |
15 |
15 |
14 |
11 |
| Avg Max Decline |
|
|
|
-3.77% |
-1.68% |
-4.90% |
-0.41% |
-1.46% |
-4.55% |
0.42% |
-2.59% |
| Max Decline |
|
|
|
-5.34% |
-2.82% |
-20.93% |
-3.87% |
-4.51% |
-12.63% |
-0.72% |
-6.33% |
| Avg Days to Max Decline |
|
|
|
4 |
21 |
14 |
5 |
5 |
4 |
1 |
7 |
| 2002 Contract Condition |
|
|
|
|
|
|
Yes |
Yes |
|
|
|
| Action |
|
|
|
|
|
|
Yes |
Yes |
|
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jun |
Jun |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
8 |
9 |
9 |
9 |
9 |
9 |
9 |
9 |
| Closed Lower |
|
|
|
5 |
5 |
4 |
2 |
1 |
5 |
4 |
6 |
| Penetrated Low |
|
|
|
5 |
4 |
2 |
2 |
1 |
4 |
2 |
3 |
| Scenario Percentage |
|
|
|
100% |
80% |
50% |
100% |
100% |
80% |
50% |
50% |
| Avg Max Decline |
|
|
|
13.03% |
14.52% |
17.86% |
21.68% |
17.75% |
11.88% |
9.52% |
6.36% |
| Max Decline |
|
|
|
33.68% |
23.61% |
32.63% |
34.04% |
17.75% |
20.74% |
14.32% |
12.18% |
| Avg Days To Max Decline |
|
|
|
15 |
16 |
19 |
22 |
3 |
18 |
17 |
11 |
| Avg Max Increase |
|
|
|
-3.06% |
-7.00% |
-1.78% |
-3.56% |
-18.53% |
-10.53% |
-1.24% |
-3.78% |
| Max Increase |
|
|
|
-9.10% |
-24.14% |
-6.08% |
-5.52% |
-18.53% |
-17.58% |
-1.68% |
-6.43% |
| Avg Days to Max Increase |
|
|
|
6 |
20 |
1 |
20 |
11 |
12 |
3 |
4 |
| 2002 Contract Condition |
|
|
|
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
| Action |
|
|
|
Yes |
Yes |
No |
|
|
Yes |
Yes |
Not Yet |
| High |
|
|
1883.50 |
1885.00 |
1808.00 |
1452.50 |
1494.00 |
1635.00 |
1735.00 |
1717.00 |
1566.00 |
| Low |
|
|
1733.00 |
1658.50 |
1480.50 |
1144.00 |
1165.50 |
1428.50 |
1559.00 |
1484.00 |
1331.00 |
| Close/Last |
|
|
1883.50 |
1725.00 |
1497.50 |
1181.00 |
1376.00 |
1604.50 |
1583.50 |
1553.50 |
1360.50 |
|
|