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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 Dec 30, 2011
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   4 4 4 15 15 15 15 15 15 15 15
Closed Higher   3 3 3 10 11 7 8 5 9 10 7
Exceeded High   3 2 3 9 10 6 3 5 7 7 6
Scenario Percentage   100% 67% 100% 90% 91% 86% 38% 100% 78% 70% 86%
Avg Max Increase   7.66% 9.99% 7.13% 16.47% 11.39% 8.65% 6.87% 10.20% 9.17% 8.46% 2.92%
Max Increase   8.54% 11.36% 9.61% 41.49% 34.98% 16.63% 13.88% 15.74% 17.83% 14.35% 5.70%
Avg Days To Max Increase   20 26 17 23 17 13 24 25 24 12 8
Avg Max Decline   -3.25% -1.64% -1.31% -0.57% -0.88% -2.42% -2.82% -4.03% -2.26% -1.65% -1.55%
Max Decline   -5.19% -1.99% -3.27% -3.86% -3.11% -11.66% -11.60% -6.89% -7.29% -5.12% -2.78%
Avg Days to Max Decline   17 6 3 6 10 7 12 10 5 5 3
2011 Contract Condition   Yes   Yes Yes   Yes Yes Yes   Yes  
Action   Yes   Yes Yes   Yes 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   4 4 4 15 15 15 15 15 15 15 15
Closed Lower   1 1 1 5 4 8 7 10 6 5 8
Penetrated Low   1   1 3 2 7 6 10 3 4 5
Scenario Percentage   100% 0% 100% 60% 50% 88% 86% 100% 50% 80% 63%
Avg Max Decline   4.53%   35.80% 21.17% 17.40% 9.49% 7.44% 8.54% 7.67% 13.82% 6.72%
Max Decline   4.53%   35.80% 32.41% 18.99% 21.04% 14.13% 29.81% 14.47% 23.82% 12.94%
Avg Days To Max Decline   16   20 21 12 19 15 14 12 17 11
Avg Max Increase   -2.78%   1.54% -3.45% -10.06% -6.84% -2.73% -3.11% -1.51% -2.99% -2.88%
Max Increase   -2.78%   1.54% -5.56% -18.01% -16.48% -8.23% -15.83% -1.57% -5.78% -8.99%
Avg Days to Max Increase   8   1 15 10 10 9 6 2 7 3
2011 Contract Condition     Yes     Yes       Yes   Yes
Action     No     No       No   Yes
High 1902.80 1880.30 1906.30 2013.50 2123.50 2181.50 2234.00 2330.00 2398.00 2373.00 2415.50 2427.80
Low 1730.80 1714.00 1758.80 1812.50 1970.30 2086.80 2153.50 2240.00 2286.00 2186.50 2250.00 2281.80
Close/Last 1730.80 1855.00 1758.80 1990.30 2117.00 2112.50 2212.80 2277.30 2348.30 2336.30 2400.80 2371.80

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