|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for June 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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
1 |
1 |
1 |
12 |
12 |
12 |
12 |
12 |
12 |
12 |
12 |
| Closed Higher |
|
1 |
1 |
9 |
10 |
4 |
7 |
3 |
7 |
7 |
6 |
| Exceeded High |
|
1 |
1 |
8 |
10 |
3 |
2 |
3 |
5 |
5 |
6 |
| Scenario Percentage |
|
100% |
100% |
89% |
100% |
75% |
29% |
100% |
71% |
71% |
100% |
| Avg Max Increase |
|
11.36% |
6.47% |
17.83% |
10.77% |
12.25% |
7.66% |
11.60% |
8.52% |
9.85% |
2.43% |
| Max Increase |
|
11.36% |
6.47% |
41.49% |
34.98% |
16.63% |
13.88% |
15.74% |
17.83% |
14.35% |
5.67% |
| Avg Days To Max Increase |
|
31 |
31 |
20 |
16 |
17 |
28 |
25 |
23 |
13 |
8 |
| Avg Max Decline |
|
-1.28% |
0.34% |
-0.45% |
-0.75% |
-3.64% |
-4.62% |
-4.87% |
-2.51% |
-1.40% |
-2.26% |
| Max Decline |
|
-1.28% |
0.34% |
-3.83% |
-3.11% |
-11.66% |
-11.60% |
-6.22% |
-7.29% |
-5.12% |
-4.60% |
| Avg Days to Max Decline |
|
10 |
3 |
4 |
9 |
4 |
17 |
11 |
6 |
4 |
3 |
| 2008 Contract Condition |
|
Yes |
Yes |
Yes |
|
|
|
|
Yes |
Yes |
Yes |
| Action |
|
Yes |
Yes |
No |
|
|
|
|
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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
1 |
1 |
1 |
12 |
12 |
12 |
12 |
12 |
12 |
12 |
12 |
| Closed Lower |
1 |
|
|
3 |
2 |
8 |
5 |
9 |
5 |
5 |
6 |
| Penetrated Low |
1 |
|
|
2 |
2 |
7 |
4 |
9 |
3 |
4 |
4 |
| Scenario Percentage |
100% |
|
|
67% |
100% |
88% |
80% |
100% |
60% |
80% |
67% |
| Avg Max Decline |
4.53% |
|
|
20.60% |
17.40% |
9.49% |
8.07% |
8.71% |
7.67% |
13.82% |
6.64% |
| Max Decline |
4.53% |
|
|
32.41% |
18.99% |
21.04% |
14.13% |
29.81% |
14.47% |
23.82% |
12.94% |
| Avg Days To Max Decline |
16 |
|
|
22 |
12 |
19 |
20 |
14 |
12 |
17 |
11 |
| Avg Max Increase |
-2.65% |
|
|
-3.56% |
-10.06% |
-6.73% |
-1.37% |
-3.54% |
-1.47% |
-2.99% |
-3.27% |
| Max Increase |
-2.65% |
|
|
-5.56% |
-18.01% |
-16.48% |
-3.75% |
-15.83% |
-1.57% |
-5.78% |
-8.99% |
| Avg Days to Max Increase |
8 |
|
|
20 |
10 |
9 |
12 |
6 |
4 |
7 |
3 |
| 2008 Contract Condition |
Yes |
|
|
|
Yes |
Yes |
Yes |
Yes |
|
|
|
| Action |
Yes |
|
|
|
Yes |
Yes |
Yes |
Yes |
|
|
|
| High |
2139.80 |
2072.30 |
2170.80 |
2303.00 |
2283.30 |
2180.50 |
2095.50 |
1874.30 |
1840.00 |
1958.00 |
2055.00 |
| Low |
2018.80 |
1927.30 |
2041.50 |
2170.30 |
2037.30 |
2070.00 |
1730.00 |
1756.80 |
1674.00 |
1777.80 |
1924.50 |
| Close/Last |
2018.80 |
2068.00 |
2163.00 |
2303.00 |
2135.50 |
2125.30 |
1858.50 |
1756.80 |
1790.50 |
1923.30 |
2035.30 |
|
|
