|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September NASDAQ 100(CME) as of Jun 30, 2007 |
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 |
10 |
10 |
10 |
10 |
10 |
10 |
11 |
11 |
| Closed Higher |
|
|
|
6 |
3 |
6 |
5 |
4 |
6 |
4 |
5 |
| Exceeded High |
|
|
|
3 |
3 |
4 |
5 |
4 |
4 |
3 |
5 |
| Scenario Percentage |
|
|
|
50% |
100% |
67% |
100% |
100% |
67% |
75% |
100% |
| Avg Max Increase |
|
|
|
6.07% |
10.56% |
8.03% |
10.75% |
8.25% |
9.47% |
4.97% |
5.47% |
| 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 |
20 |
20 |
25 |
20 |
8 |
12 |
| Avg Max Decline |
|
|
|
1.63% |
-4.11% |
-2.47% |
-3.78% |
-3.00% |
-2.18% |
-2.42% |
-1.32% |
| 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 |
7 |
21 |
18 |
3 |
3 |
5 |
| 2007 Contract Condition |
|
|
|
Yes |
|
Yes |
Yes |
Yes |
|
|
|
| Action |
|
|
|
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 |
Jun |
Jun |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
10 |
10 |
10 |
10 |
10 |
10 |
11 |
11 |
| Closed Lower |
|
|
|
4 |
7 |
4 |
5 |
6 |
4 |
7 |
6 |
| Penetrated Low |
|
|
|
3 |
7 |
3 |
4 |
4 |
3 |
5 |
2 |
| Scenario Percentage |
|
|
|
75% |
100% |
75% |
80% |
67% |
75% |
71% |
33% |
| Avg Max Decline |
|
|
|
6.63% |
9.34% |
7.05% |
14.88% |
13.27% |
9.26% |
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 |
|
|
|
18 |
14 |
11 |
18 |
19 |
10 |
10 |
10 |
| Avg Max Increase |
|
|
|
-1.25% |
-3.87% |
0.94% |
-2.18% |
-3.73% |
-1.18% |
-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 |
4 |
3 |
6 |
6 |
5 |
2 |
2 |
| 2007 Contract Condition |
|
|
|
|
Yes |
|
|
|
Yes |
|
|
| Action |
|
|
|
|
Yes |
|
|
|
Not Yet |
|
|
| High |
|
|
1872.50 |
1905.30 |
1901.30 |
1847.00 |
1931.30 |
1960.00 |
1973.00 |
|
|
| Low |
|
|
1807.00 |
1818.00 |
1796.30 |
1757.50 |
1812.00 |
1905.00 |
1902.00 |
|
|
| Close/Last |
|
|
1818.00 |
1846.50 |
1811.30 |
1812.80 |
1903.80 |
1957.30 |
1956.00 |
|
|
|
|
