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| MRCI's ScenarioSM Study |
| ScenarioSM Study for June NASDAQ 100(CME) as of Jul 31, 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
10 |
10 |
10 |
10 |
10 |
10 |
10 |
10 |
| Closed Higher |
|
|
|
7 |
9 |
4 |
6 |
3 |
6 |
5 |
4 |
| Exceeded High |
|
|
|
7 |
9 |
3 |
2 |
3 |
4 |
3 |
3 |
| Scenario Percentage |
|
|
|
100% |
100% |
75% |
33% |
100% |
67% |
60% |
75% |
| Avg Max Increase |
|
|
|
19.71% |
11.66% |
12.25% |
7.66% |
11.60% |
8.62% |
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 |
17 |
17 |
28 |
25 |
21 |
18 |
5 |
| Avg Max Decline |
|
|
|
-0.28% |
-0.54% |
-3.64% |
-4.62% |
-4.87% |
-2.96% |
-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 |
8 |
4 |
17 |
11 |
7 |
6 |
2 |
| 2005 Contract Condition |
|
|
|
Yes |
Yes |
Yes |
|
|
|
|
Yes |
| Action |
|
|
|
Yes |
Yes |
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 |
10 |
10 |
10 |
10 |
10 |
10 |
10 |
10 |
| Closed Lower |
|
|
|
3 |
1 |
6 |
4 |
7 |
4 |
5 |
6 |
| Penetrated Low |
|
|
|
2 |
1 |
5 |
3 |
7 |
3 |
4 |
4 |
| Scenario Percentage |
|
|
|
67% |
100% |
83% |
75% |
100% |
75% |
80% |
67% |
| Avg Max Decline |
|
|
|
20.60% |
15.81% |
9.27% |
7.45% |
9.80% |
7.67% |
13.82% |
6.64% |
| Max Decline |
|
|
|
32.41% |
15.81% |
21.04% |
14.13% |
29.81% |
14.47% |
23.82% |
12.94% |
| Avg Days To Max Decline |
|
|
|
22 |
2 |
17 |
21 |
14 |
12 |
17 |
11 |
| Avg Max Increase |
|
|
|
-3.56% |
-18.01% |
-8.73% |
-1.54% |
-4.66% |
-1.47% |
-2.99% |
-3.27% |
| Max Increase |
|
|
|
-5.56% |
-18.01% |
-16.48% |
-3.75% |
-15.83% |
-1.57% |
-5.78% |
-8.99% |
| Avg Days to Max Increase |
|
|
|
20 |
11 |
10 |
15 |
5 |
4 |
7 |
3 |
| 2005 Contract Condition |
|
|
|
|
|
|
Yes |
Yes |
Yes |
Yes |
|
| Action |
|
|
|
|
|
|
Yes |
Yes |
Yes |
Not Yet |
|
| High |
|
|
1448.50 |
1504.50 |
1597.50 |
1644.00 |
1626.00 |
1566.00 |
1563.50 |
1511.00 |
1554.50 |
| Low |
|
|
1404.50 |
1445.00 |
1506.00 |
1610.50 |
1501.50 |
1505.00 |
1466.00 |
1397.00 |
1419.00 |
| Close/Last |
|
|
1430.50 |
1504.50 |
1588.00 |
1639.00 |
1534.50 |
1522.50 |
1491.00 |
1425.50 |
1545.00 |
|
|