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| MRCI's ScenarioSM Study |
| ScenarioSM Study for NASDAQ 100 Index 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
20 |
20 |
20 |
20 |
20 |
20 |
20 |
20 |
20 |
21 |
21 |
| Closed Higher |
10 |
14 |
10 |
10 |
11 |
12 |
13 |
13 |
10 |
16 |
11 |
| Exceeded High |
10 |
13 |
8 |
9 |
10 |
12 |
13 |
13 |
9 |
10 |
9 |
| Scenario Percentage |
100% |
93% |
80% |
90% |
91% |
100% |
100% |
100% |
90% |
63% |
82% |
| Avg Max Increase |
10.18% |
5.83% |
8.57% |
6.57% |
7.02% |
10.32% |
14.20% |
12.51% |
11.65% |
10.20% |
7.33% |
| Max Increase |
16.40% |
22.93% |
12.16% |
10.16% |
19.67% |
30.89% |
42.20% |
36.60% |
26.08% |
15.28% |
15.72% |
| Avg Days To Max Increase |
17 |
13 |
19 |
17 |
16 |
19 |
15 |
17 |
19 |
22 |
23 |
| Avg Max Decline |
-3.25% |
-1.84% |
-1.48% |
-2.94% |
-3.07% |
-5.00% |
-2.12% |
-2.31% |
-3.01% |
-2.05% |
-2.07% |
| Max Decline |
-8.23% |
-4.33% |
-4.08% |
-7.49% |
-6.44% |
-20.97% |
-4.99% |
-7.00% |
-10.60% |
-12.33% |
-6.23% |
| Avg Days to Max Decline |
12 |
8 |
6 |
7 |
16 |
10 |
7 |
14 |
6 |
3 |
4 |
| 2005 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
|
|
| Action |
|
Yes |
No |
|
|
Yes |
Yes |
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
20 |
20 |
20 |
20 |
20 |
20 |
20 |
20 |
20 |
21 |
21 |
| Closed Lower |
10 |
6 |
10 |
10 |
9 |
8 |
7 |
7 |
10 |
5 |
10 |
| Penetrated Low |
6 |
3 |
6 |
8 |
7 |
5 |
3 |
4 |
7 |
3 |
9 |
| Scenario Percentage |
60% |
50% |
60% |
80% |
78% |
63% |
43% |
57% |
70% |
60% |
90% |
| Avg Max Decline |
11.08% |
14.37% |
9.71% |
13.80% |
12.05% |
17.53% |
15.63% |
9.92% |
9.61% |
7.59% |
27.26% |
| Max Decline |
23.22% |
28.06% |
18.56% |
35.32% |
25.90% |
38.59% |
33.74% |
16.72% |
19.70% |
14.22% |
59.25% |
| Avg Days To Max Decline |
23 |
20 |
13 |
15 |
13 |
16 |
20 |
8 |
17 |
21 |
18 |
| Avg Max Increase |
-4.11% |
-4.07% |
-1.62% |
-2.94% |
-5.84% |
-3.68% |
-1.83% |
-5.71% |
-7.04% |
-1.70% |
-4.09% |
| Max Increase |
-6.71% |
-9.11% |
-4.08% |
-9.40% |
-23.92% |
-6.78% |
-2.66% |
-19.32% |
-18.36% |
-2.74% |
-12.14% |
| Avg Days to Max Increase |
20 |
6 |
9 |
7 |
14 |
3 |
14 |
5 |
8 |
7 |
13 |
| 2005 Contract Condition |
Yes |
|
|
Yes |
Yes |
|
|
|
|
Yes |
Yes |
| Action |
Yes |
|
|
Yes |
No |
|
|
|
|
Yes |
Yes |
| High |
1508.40 |
1469.20 |
1523.50 |
1514.80 |
1408.30 |
1440.80 |
1497.00 |
1583.20 |
1635.70 |
1635.40 |
1561.20 |
| Low |
1401.40 |
1372.50 |
1445.20 |
1359.30 |
1302.00 |
1360.60 |
1416.30 |
1479.90 |
1577.80 |
1480.70 |
1490.00 |
| Close/Last |
1401.40 |
1466.20 |
1516.60 |
1400.40 |
1368.70 |
1412.70 |
1486.70 |
1571.50 |
1623.80 |
1519.60 |
1511.00 |
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