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 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September 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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
9 |
9 |
9 |
9 |
9 |
9 |
10 |
10 |
| Closed Higher |
|
|
|
5 |
3 |
5 |
5 |
4 |
6 |
4 |
4 |
| Exceeded High |
|
|
|
3 |
3 |
3 |
5 |
4 |
4 |
3 |
4 |
| Scenario Percentage |
|
|
|
60% |
100% |
60% |
100% |
100% |
67% |
75% |
100% |
| Avg Max Increase |
|
|
|
6.07% |
10.56% |
10.04% |
10.75% |
8.25% |
9.47% |
4.65% |
4.57% |
| Max Increase |
|
|
|
13.43% |
13.60% |
17.38% |
14.22% |
14.72% |
11.75% |
8.60% |
6.73% |
| Avg Days To Max Increase |
|
|
|
9 |
25 |
25 |
20 |
25 |
20 |
5 |
8 |
| Avg Max Decline |
|
|
|
1.63% |
-4.11% |
-3.37% |
-3.78% |
-3.00% |
-2.18% |
-2.42% |
-1.18% |
| 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 |
18 |
3 |
3 |
2 |
| 2005 Contract Condition |
|
|
|
|
|
|
|
Yes |
|
Yes |
|
| Action |
|
|
|
|
|
|
|
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 |
Jun |
Jun |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
9 |
9 |
9 |
9 |
9 |
9 |
10 |
10 |
| Closed Lower |
|
|
|
4 |
6 |
4 |
4 |
5 |
3 |
6 |
6 |
| Penetrated Low |
|
|
|
3 |
6 |
3 |
3 |
3 |
2 |
5 |
2 |
| Scenario Percentage |
|
|
|
75% |
100% |
75% |
75% |
60% |
67% |
83% |
33% |
| Avg Max Decline |
|
|
|
6.63% |
10.58% |
7.05% |
15.98% |
14.70% |
9.70% |
10.45% |
4.99% |
| Max Decline |
|
|
|
13.24% |
28.90% |
13.30% |
23.50% |
28.18% |
18.60% |
20.85% |
9.00% |
| Avg Days To Max Decline |
|
|
|
18 |
15 |
11 |
20 |
20 |
6 |
7 |
4 |
| Avg Max Increase |
|
|
|
-1.25% |
-4.27% |
0.94% |
-2.69% |
-4.06% |
-1.39% |
-1.75% |
-5.73% |
| Max Increase |
|
|
|
-3.44% |
-14.37% |
-1.20% |
-3.50% |
-10.92% |
-1.52% |
-4.84% |
-9.04% |
| Avg Days to Max Increase |
|
|
|
11 |
5 |
3 |
7 |
7 |
7 |
2 |
2 |
| 2005 Contract Condition |
|
|
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
| Action |
|
|
|
Yes |
Yes |
Yes |
No |
|
Yes |
|
Not Yet |
| High |
|
|
1654.50 |
1636.50 |
1568.00 |
1564.50 |
1519.00 |
1563.50 |
1583.00 |
1627.50 |
1635.00 |
| Low |
|
|
1625.00 |
1512.00 |
1521.00 |
1484.50 |
1414.00 |
1436.00 |
1499.50 |
1491.00 |
1555.00 |
| Close/Last |
|
|
1649.50 |
1545.00 |
1532.50 |
1501.00 |
1435.50 |
1556.50 |
1503.00 |
1611.50 |
1584.00 |
|
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