|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September NASDAQ 100(CME) as of Jan 07, 2009 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
1 |
1 |
1 |
12 |
12 |
12 |
12 |
12 |
12 |
13 |
13 |
| Closed Higher |
1 |
|
|
7 |
3 |
7 |
7 |
6 |
6 |
5 |
7 |
| Exceeded High |
|
|
|
3 |
3 |
5 |
7 |
6 |
4 |
4 |
6 |
| Scenario Percentage |
0% |
|
|
43% |
100% |
71% |
100% |
100% |
67% |
80% |
86% |
| Avg Max Increase |
|
|
|
6.07% |
10.56% |
8.05% |
9.22% |
6.74% |
9.47% |
5.15% |
4.44% |
| Max Increase |
|
|
|
13.43% |
13.60% |
17.38% |
14.22% |
14.72% |
11.75% |
8.60% |
8.96% |
| Avg Days To Max Increase |
|
|
|
9 |
25 |
22 |
17 |
21 |
20 |
7 |
9 |
| Avg Max Decline |
|
|
|
1.63% |
-4.11% |
-1.99% |
-2.46% |
-2.77% |
-2.18% |
-2.49% |
-1.03% |
| 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 |
6 |
23 |
14 |
3 |
3 |
3 |
| 2008 Contract Condition |
Yes |
|
|
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
| Action |
No |
|
|
|
|
Yes |
Yes |
Yes |
|
Yes |
Not Yet |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
1 |
1 |
1 |
12 |
12 |
12 |
12 |
12 |
12 |
13 |
13 |
| Closed Lower |
|
1 |
1 |
5 |
9 |
5 |
5 |
6 |
6 |
8 |
6 |
| Penetrated Low |
|
1 |
1 |
4 |
9 |
3 |
4 |
4 |
5 |
6 |
2 |
| Scenario Percentage |
|
100% |
100% |
80% |
100% |
60% |
80% |
67% |
83% |
75% |
33% |
| Avg Max Decline |
|
15.82% |
17.63% |
7.37% |
8.30% |
7.05% |
14.88% |
13.27% |
7.90% |
11.01% |
9.03% |
| Max Decline |
|
15.82% |
17.63% |
13.24% |
28.90% |
13.30% |
23.50% |
28.18% |
18.60% |
27.88% |
17.08% |
| Avg Days To Max Decline |
|
25 |
6 |
16 |
12 |
11 |
18 |
19 |
12 |
10 |
9 |
| Avg Max Increase |
|
-2.08% |
1.39% |
-1.15% |
-2.76% |
0.94% |
-2.18% |
-3.73% |
-2.32% |
-1.98% |
-5.73% |
| Max Increase |
|
-2.08% |
1.39% |
-3.44% |
-14.37% |
-1.20% |
-3.50% |
-10.92% |
-6.24% |
-4.84% |
-9.04% |
| Avg Days to Max Increase |
|
10 |
3 |
8 |
4 |
3 |
6 |
6 |
7 |
3 |
2 |
| 2008 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
|
|
|
Yes |
|
|
| Action |
|
Yes |
Yes |
Yes |
Yes |
|
|
|
Yes |
|
|
| High |
2329.00 |
2309.30 |
2206.50 |
2121.50 |
1889.00 |
1833.00 |
1947.50 |
2058.00 |
2070.00 |
1880.00 |
1977.00 |
| Low |
2196.30 |
2063.30 |
2096.00 |
1819.50 |
1766.80 |
1693.80 |
1803.50 |
1966.00 |
1835.00 |
1765.00 |
1804.00 |
| Close/Last |
2329.00 |
2161.50 |
2151.30 |
1873.30 |
1766.80 |
1797.30 |
1931.50 |
2044.00 |
1846.00 |
1853.80 |
1875.00 |
|
|
