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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March NASDAQ 100(CME) as of Sep 10, 2010 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
2 |
2 |
2 |
13 |
14 |
14 |
14 |
14 |
14 |
14 |
14 |
| Closed Higher |
2 |
2 |
1 |
6 |
8 |
9 |
9 |
11 |
6 |
7 |
4 |
| Exceeded High |
2 |
2 |
1 |
5 |
7 |
9 |
8 |
11 |
5 |
2 |
3 |
| Scenario Percentage |
100% |
100% |
100% |
83% |
88% |
100% |
89% |
100% |
83% |
29% |
75% |
| Avg Max Increase |
7.29% |
6.21% |
11.21% |
5.76% |
9.22% |
11.74% |
18.48% |
11.09% |
9.25% |
6.99% |
8.59% |
| Max Increase |
7.65% |
11.39% |
11.21% |
9.35% |
17.17% |
29.81% |
41.20% |
35.77% |
16.77% |
12.73% |
12.19% |
| Avg Days To Max Increase |
7 |
17 |
28 |
12 |
19 |
23 |
17 |
15 |
12 |
14 |
14 |
| Avg Max Decline |
-0.91% |
-2.14% |
-4.73% |
-2.39% |
-1.60% |
-3.78% |
-0.57% |
-1.68% |
-2.79% |
0.42% |
-1.65% |
| Max Decline |
-3.63% |
-2.47% |
-4.73% |
-5.34% |
-2.82% |
-20.93% |
-3.87% |
-4.51% |
-12.63% |
-0.72% |
-6.33% |
| Avg Days to Max Decline |
18 |
20 |
8 |
6 |
14 |
9 |
4 |
11 |
4 |
1 |
5 |
| 2010 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
| Action |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
2 |
2 |
2 |
13 |
14 |
14 |
14 |
14 |
14 |
14 |
14 |
| Closed Lower |
|
|
1 |
7 |
6 |
5 |
5 |
3 |
8 |
7 |
10 |
| Penetrated Low |
|
|
1 |
6 |
5 |
3 |
3 |
2 |
7 |
6 |
8 |
| Scenario Percentage |
|
|
100% |
86% |
83% |
60% |
60% |
67% |
88% |
86% |
80% |
| Avg Max Decline |
|
|
2.63% |
11.62% |
12.49% |
23.72% |
21.88% |
18.73% |
9.94% |
7.51% |
5.29% |
| Max Decline |
|
|
2.63% |
33.68% |
23.61% |
35.45% |
34.04% |
19.72% |
20.74% |
14.32% |
12.18% |
| Avg Days To Max Decline |
|
|
15 |
15 |
15 |
19 |
21 |
13 |
19 |
13 |
12 |
| Avg Max Increase |
|
|
-1.38% |
-3.02% |
-5.95% |
-0.67% |
-3.45% |
-10.64% |
-7.84% |
-3.15% |
-2.12% |
| Max Increase |
|
|
-1.38% |
-9.10% |
-24.14% |
-6.08% |
-5.52% |
-18.53% |
-17.58% |
-9.13% |
-6.43% |
| Avg Days to Max Increase |
|
|
8 |
6 |
18 |
1 |
15 |
11 |
11 |
6 |
4 |
| 2010 Contract Condition |
|
|
|
|
|
|
Yes |
|
|
Yes |
|
| Action |
|
|
|
|
|
|
No |
|
|
Yes |
|
| High |
1398.50 |
1440.50 |
1505.50 |
1603.80 |
1639.30 |
1732.50 |
1775.00 |
1806.30 |
1882.00 |
1899.80 |
1832.50 |
| Low |
1256.00 |
1347.80 |
1419.80 |
1404.30 |
1561.50 |
1585.00 |
1659.50 |
1663.00 |
1759.00 |
1731.00 |
1709.00 |
| Close/Last |
1398.50 |
1439.80 |
1474.00 |
1598.80 |
1621.80 |
1715.50 |
1663.50 |
1765.00 |
1858.80 |
1739.30 |
1818.50 |
|
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