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 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for June 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
9 |
9 |
9 |
9 |
9 |
9 |
9 |
9 |
| Closed Higher |
|
|
|
7 |
8 |
4 |
5 |
3 |
5 |
5 |
4 |
| Exceeded High |
|
|
|
7 |
8 |
3 |
2 |
3 |
3 |
3 |
3 |
| Scenario Percentage |
|
|
|
100% |
100% |
75% |
40% |
100% |
60% |
60% |
75% |
| Avg Max Increase |
|
|
|
19.71% |
12.51% |
12.25% |
7.66% |
11.60% |
10.61% |
12.79% |
3.13% |
| Max Increase |
|
|
|
41.49% |
34.98% |
16.63% |
13.88% |
15.74% |
17.83% |
14.35% |
5.67% |
| Avg Days To Max Increase |
|
|
|
20 |
18 |
17 |
28 |
25 |
26 |
18 |
5 |
| Avg Max Decline |
|
|
|
-0.28% |
-0.39% |
-3.64% |
-4.62% |
-4.87% |
-3.94% |
-2.16% |
-1.13% |
| Max Decline |
|
|
|
-3.83% |
-3.11% |
-11.66% |
-11.60% |
-6.22% |
-7.29% |
-5.12% |
-1.70% |
| Avg Days to Max Decline |
|
|
|
5 |
5 |
4 |
17 |
11 |
9 |
6 |
2 |
| 2001 Contract Condition |
|
|
|
|
|
|
Yes |
|
|
Yes |
|
| Action |
|
|
|
|
|
|
No |
|
|
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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
9 |
9 |
9 |
9 |
9 |
9 |
9 |
9 |
| Closed Lower |
|
|
|
2 |
1 |
5 |
4 |
6 |
4 |
4 |
5 |
| Penetrated Low |
|
|
|
2 |
1 |
4 |
3 |
6 |
3 |
3 |
2 |
| Scenario Percentage |
|
|
|
100% |
100% |
80% |
75% |
100% |
75% |
75% |
40% |
| Avg Max Decline |
|
|
|
20.60% |
15.81% |
11.50% |
7.45% |
11.04% |
7.67% |
13.90% |
6.87% |
| Max Decline |
|
|
|
32.41% |
15.81% |
21.04% |
14.13% |
29.81% |
14.47% |
23.82% |
10.79% |
| Avg Days To Max Decline |
|
|
|
22 |
2 |
18 |
21 |
15 |
12 |
17 |
7 |
| Avg Max Increase |
|
|
|
-3.56% |
-18.01% |
-9.24% |
-1.54% |
-5.11% |
-1.47% |
-3.66% |
-0.59% |
| Max Increase |
|
|
|
-5.56% |
-18.01% |
-16.48% |
-3.75% |
-15.83% |
-1.57% |
-5.78% |
-0.65% |
| Avg Days to Max Increase |
|
|
|
20 |
11 |
10 |
15 |
6 |
4 |
6 |
3 |
| 2001 Contract Condition |
|
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
| Action |
|
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Not Yet |
| High |
|
|
3961.00 |
3636.50 |
3456.50 |
3083.50 |
2810.00 |
2658.50 |
2055.00 |
1995.00 |
2076.00 |
| Low |
|
|
3718.00 |
3148.00 |
2600.00 |
2300.00 |
2200.00 |
1905.00 |
1544.00 |
1360.00 |
1771.00 |
| Close/Last |
|
|
3729.00 |
3403.00 |
2613.00 |
2412.50 |
2641.00 |
1937.50 |
1590.00 |
1866.50 |
1803.00 |
|
|