|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for March NASDAQ 100(CME) as of Nov 30, 2006 |
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 |
9 |
10 |
10 |
10 |
10 |
10 |
10 |
10 |
| Closed Higher |
|
|
|
4 |
4 |
6 |
7 |
9 |
4 |
6 |
3 |
| Exceeded High |
|
|
|
3 |
4 |
6 |
7 |
9 |
3 |
2 |
2 |
| Scenario Percentage |
|
|
|
75% |
100% |
100% |
100% |
100% |
75% |
33% |
67% |
| Avg Max Increase |
|
|
|
4.80% |
8.53% |
14.10% |
20.45% |
12.39% |
12.60% |
6.99% |
7.75% |
| Max Increase |
|
|
|
9.35% |
17.17% |
29.81% |
41.20% |
35.77% |
16.77% |
12.73% |
12.19% |
| Avg Days To Max Increase |
|
|
|
9 |
15 |
24 |
17 |
15 |
15 |
14 |
12 |
| Avg Max Decline |
|
|
|
-2.44% |
-1.68% |
-4.96% |
-0.41% |
-1.59% |
-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 |
|
|
|
3 |
21 |
13 |
5 |
8 |
4 |
1 |
7 |
| 2007 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 |
Jun |
Jun |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
9 |
10 |
10 |
10 |
10 |
10 |
10 |
10 |
| Closed Lower |
|
|
|
5 |
6 |
4 |
3 |
1 |
6 |
4 |
7 |
| Penetrated Low |
|
|
|
5 |
5 |
2 |
2 |
1 |
5 |
2 |
4 |
| Scenario Percentage |
|
|
|
100% |
83% |
50% |
67% |
100% |
83% |
50% |
57% |
| Avg Max Decline |
|
|
|
13.03% |
12.49% |
17.86% |
21.68% |
17.75% |
9.68% |
9.52% |
5.38% |
| Max Decline |
|
|
|
33.68% |
23.61% |
32.63% |
34.04% |
17.75% |
20.74% |
14.32% |
12.18% |
| Avg Days To Max Decline |
|
|
|
15 |
15 |
19 |
22 |
3 |
17 |
17 |
10 |
| Avg Max Increase |
|
|
|
-3.06% |
-5.95% |
-1.78% |
-3.56% |
-18.53% |
-9.81% |
-1.24% |
-3.36% |
| Max Increase |
|
|
|
-9.10% |
-24.14% |
-6.08% |
-5.52% |
-18.53% |
-17.58% |
-1.68% |
-6.43% |
| Avg Days to Max Increase |
|
|
|
6 |
18 |
1 |
20 |
11 |
12 |
3 |
4 |
| 2007 Contract Condition |
|
|
|
Yes |
|
|
|
|
|
|
|
| Action |
|
|
|
No |
|
|
|
|
|
|
|
| High |
|
|
1640.50 |
1637.00 |
1622.30 |
1697.30 |
1774.00 |
1846.50 |
|
|
|
| Low |
|
|
1580.80 |
1496.30 |
1527.80 |
1605.80 |
1667.50 |
1734.80 |
|
|
|
| Close/Last |
|
|
1627.00 |
1553.80 |
1620.80 |
1691.30 |
1763.80 |
1816.30 |
|
|
|
|
|
