|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for March NASDAQ 100(CME) as of Jan 07, 2009 |
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 |
11 |
12 |
12 |
12 |
12 |
12 |
12 |
12 |
| Closed Higher |
|
|
|
4 |
6 |
8 |
9 |
10 |
4 |
7 |
3 |
| Exceeded High |
|
|
|
3 |
6 |
8 |
8 |
10 |
3 |
2 |
2 |
| Scenario Percentage |
|
|
|
75% |
100% |
100% |
89% |
100% |
75% |
29% |
67% |
| Avg Max Increase |
|
|
|
4.80% |
9.18% |
12.54% |
18.48% |
11.41% |
12.60% |
6.99% |
9.76% |
| Max Increase |
|
|
|
9.35% |
17.17% |
29.81% |
41.20% |
35.77% |
16.77% |
12.73% |
12.19% |
| Avg Days To Max Increase |
|
|
|
9 |
19 |
24 |
18 |
15 |
15 |
14 |
14 |
| Avg Max Decline |
|
|
|
-2.44% |
-1.49% |
-3.85% |
-0.57% |
-1.81% |
-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 |
16 |
10 |
4 |
11 |
4 |
1 |
7 |
| 2008 Contract Condition |
|
|
|
|
Yes |
Yes |
Yes |
|
|
|
|
| Action |
|
|
|
|
Yes |
Yes |
No |
|
|
|
|
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 |
11 |
12 |
12 |
12 |
12 |
12 |
12 |
12 |
| Closed Lower |
|
|
|
7 |
6 |
4 |
3 |
2 |
8 |
5 |
9 |
| Penetrated Low |
|
|
|
6 |
5 |
2 |
2 |
2 |
7 |
4 |
7 |
| Scenario Percentage |
|
|
|
86% |
83% |
50% |
67% |
100% |
88% |
80% |
78% |
| Avg Max Decline |
|
|
|
11.62% |
12.49% |
17.86% |
21.68% |
18.73% |
9.93% |
7.85% |
5.32% |
| Max Decline |
|
|
|
33.68% |
23.61% |
32.63% |
34.04% |
19.72% |
20.74% |
14.32% |
12.18% |
| Avg Days To Max Decline |
|
|
|
15 |
15 |
19 |
22 |
13 |
19 |
17 |
13 |
| Avg Max Increase |
|
|
|
-3.00% |
-5.95% |
-1.78% |
-3.56% |
-10.64% |
-7.80% |
-1.69% |
-2.29% |
| Max Increase |
|
|
|
-9.10% |
-24.14% |
-6.08% |
-5.52% |
-18.53% |
-17.58% |
-2.69% |
-6.43% |
| Avg Days to Max Increase |
|
|
|
6 |
18 |
1 |
20 |
11 |
10 |
5 |
4 |
| 2008 Contract Condition |
|
|
|
Yes |
|
|
|
Yes |
Yes |
Yes |
Yes |
| Action |
|
|
|
Yes |
|
|
|
Yes |
Yes |
Yes |
Yes |
| High |
|
|
2010.50 |
2112.80 |
2045.30 |
2143.80 |
2276.00 |
2256.30 |
2173.00 |
2116.50 |
1876.80 |
| Low |
|
|
1971.00 |
1991.80 |
1900.30 |
2014.50 |
2143.30 |
2009.80 |
2022.00 |
1698.00 |
1713.00 |
| Close/Last |
|
|
2001.50 |
1991.80 |
2041.00 |
2136.00 |
2276.00 |
2115.00 |
2104.80 |
1847.80 |
1748.30 |
|
|
