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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June NASDAQ 100(CME) as of Jan 01, 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 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 9 3 2 3 5 5 6
Scenario Percentage     100% 100% 89% 90% 75% 29% 100% 71% 71% 100%
Avg Max Increase     11.36% 6.47% 17.84% 11.87% 12.25% 7.66% 11.60% 8.52% 9.87% 2.49%
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 23 18 17 28 25 23 13 9
Avg Max Decline     -1.28% 0.34% -0.46% -0.99% -3.64% -4.62% -4.87% -2.54% -1.43% -2.26%
Max Decline     -1.28% 0.34% -3.86% -3.11% -11.66% -11.60% -6.22% -7.29% -5.12% -4.60%
Avg Days to Max Decline     10 3 4 10 4 17 11 6 4 3
2008 Contract Condition     Yes Yes Yes         Yes Yes Yes
Action     Yes Yes No         Yes Yes Yes
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jun 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% 8.10% 8.73% 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 18 14 12 17 11
Avg Max Increase   -2.78%     -3.56% -10.06% -6.84% -1.37% -3.58% -1.51% -2.99% -3.50%
Max Increase   -2.78%     -5.56% -18.01% -16.48% -3.75% -15.83% -1.57% -5.78% -8.99%
Avg Days to Max Increase   8     20 10 10 12 6 2 7 3
2008 Contract Condition   Yes       Yes Yes Yes Yes      
Action   Yes       Yes Yes Yes Yes      
High 2028.50 2139.80 2075.00 2170.80 2303.00 2283.30 2180.50 2095.50 1874.30 1840.00 1958.00 2055.00
Low 1998.00 2018.50 1927.30 2041.50 2170.30 2037.30 2069.50 1730.00 1756.80 1674.00 1777.80 1921.80
Close/Last 2028.50 2018.80 2068.00 2163.00 2303.00 2135.50 2125.30 1858.50 1756.80 1790.50 1923.30 2035.30

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