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| MRCI's ScenarioSM Study |
| ScenarioSM Study for September 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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
8 |
8 |
8 |
8 |
8 |
8 |
9 |
9 |
| Closed Higher |
|
|
|
5 |
3 |
5 |
5 |
3 |
6 |
3 |
4 |
| Exceeded High |
|
|
|
3 |
3 |
3 |
5 |
3 |
4 |
2 |
4 |
| Scenario Percentage |
|
|
|
60% |
100% |
60% |
100% |
100% |
67% |
67% |
100% |
| Avg Max Increase |
|
|
|
6.07% |
10.56% |
10.04% |
10.75% |
9.48% |
9.47% |
6.72% |
5.92% |
| Max Increase |
|
|
|
13.43% |
13.60% |
17.38% |
14.22% |
14.72% |
11.75% |
9.54% |
10.95% |
| Avg Days To Max Increase |
|
|
|
9 |
25 |
25 |
20 |
25 |
20 |
12 |
12 |
| Avg Max Decline |
|
|
|
1.63% |
-4.11% |
-3.37% |
-3.78% |
-2.60% |
-2.18% |
-3.58% |
-1.29% |
| Max Decline |
|
|
|
0.84% |
-5.73% |
-6.15% |
-8.94% |
-4.33% |
-4.32% |
-5.86% |
-2.13% |
| Avg Days to Max Decline |
|
|
|
2 |
10 |
9 |
21 |
12 |
3 |
4 |
4 |
| 2001 Contract Condition |
|
|
|
Yes |
|
|
Yes |
|
Yes |
|
|
| Action |
|
|
|
No |
|
|
Yes |
|
No |
|
|
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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
8 |
8 |
8 |
8 |
8 |
8 |
9 |
9 |
| Closed Lower |
|
|
|
3 |
5 |
3 |
3 |
5 |
2 |
6 |
5 |
| Penetrated Low |
|
|
|
2 |
5 |
2 |
3 |
3 |
1 |
5 |
2 |
| Scenario Percentage |
|
|
|
67% |
100% |
67% |
100% |
60% |
50% |
83% |
40% |
| Avg Max Decline |
|
|
|
7.98% |
11.15% |
7.68% |
15.98% |
14.70% |
18.60% |
12.87% |
11.95% |
| Max Decline |
|
|
|
13.24% |
28.90% |
13.30% |
23.50% |
28.18% |
18.60% |
32.96% |
22.92% |
| Avg Days To Max Decline |
|
|
|
16 |
12 |
3 |
20 |
20 |
5 |
10 |
10 |
| Avg Max Increase |
|
|
|
-1.13% |
-4.70% |
2.01% |
-2.69% |
-4.06% |
-1.52% |
-1.75% |
-5.73% |
| Max Increase |
|
|
|
-3.44% |
-14.37% |
-0.64% |
-3.50% |
-10.92% |
-1.52% |
-4.84% |
-9.04% |
| Avg Days to Max Increase |
|
|
|
9 |
4 |
1 |
7 |
7 |
8 |
2 |
2 |
| 2001 Contract Condition |
|
|
|
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
| Action |
|
|
|
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
| High |
|
|
2690.50 |
2815.00 |
2689.50 |
2039.50 |
1974.50 |
2090.00 |
2022.00 |
1882.00 |
1775.00 |
| Low |
|
|
2347.00 |
2237.50 |
1962.00 |
1599.00 |
1395.00 |
1805.00 |
1671.00 |
1588.00 |
1441.00 |
| Close/Last |
|
|
2450.50 |
2673.00 |
1962.00 |
1609.00 |
1887.50 |
1823.00 |
1846.50 |
1693.00 |
1472.50 |
|
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