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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for NASDAQ 100 Index as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   21 21 21 21 21 21 21 21 21 21 22
Closed Higher   16 11 14 10 14 10 10 12 13 14 15
Exceeded High   10 10 11 10 13 8 9 11 13 14 14
Scenario Percentage   63% 91% 79% 100% 93% 80% 90% 92% 100% 100% 93%
Avg Max Increase   10.25% 9.90% 9.43% 10.21% 5.83% 8.58% 6.57% 7.34% 10.39% 13.39% 6.65%
Max Increase   15.29% 15.72% 17.94% 16.40% 22.95% 12.17% 10.16% 19.67% 30.90% 42.20% 26.42%
Avg Days To Max Increase   22 20 22 17 13 19 17 17 20 15 12
Avg Max Decline   -2.03% -2.60% -3.19% -3.47% -2.05% -1.47% -2.96% -2.92% -4.75% -2.13% -1.08%
Max Decline   -12.33% -7.29% -9.12% -8.23% -4.49% -4.08% -7.48% -6.44% -20.96% -5.04% -3.62%
Avg Days to Max Decline   3 5 9 12 10 6 8 16 10 7 3
2006 Contract Condition   Yes   Yes         Yes Yes Yes Yes
Action   No   Yes         Yes Yes Yes Not Yet
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   21 21 21 21 21 21 21 21 21 21 22
Closed Lower   5 10 7 11 7 11 11 9 8 7 7
Penetrated Low   3 9 5 7 4 7 8 7 5 3 4
Scenario Percentage   60% 90% 71% 64% 57% 64% 73% 78% 63% 43% 57%
Avg Max Decline   7.59% 9.82% 8.07% 11.08% 12.88% 9.49% 13.78% 12.07% 17.52% 15.68% 8.49%
Max Decline   14.21% 29.33% 14.29% 23.28% 28.08% 18.55% 35.33% 25.91% 38.56% 33.74% 13.24%
Avg Days To Max Decline   21 18 16 22 19 13 15 13 16 20 13
Avg Max Increase   -1.69% -4.39% -1.84% -3.68% -3.79% -1.49% -2.95% -5.85% -3.68% -1.81% -5.70%
Max Increase   -2.73% -15.77% -2.98% -6.74% -9.11% -4.07% -9.38% -23.92% -6.78% -2.65% -19.32%
Avg Days to Max Increase   7 8 6 18 5 8 7 14 3 14 5
2006 Contract Condition     Yes   Yes Yes Yes Yes        
Action     Yes   Yes Yes Yes No        
High 1716.50 1761.25 1714.25 1720.00 1750.00 1721.00 1626.25 1586.25 1586.50 1666.00 1745.75 1824.00
Low 1641.75 1633.50 1637.25 1634.25 1684.25 1554.75 1511.50 1446.75 1476.00 1558.00 1623.00 1693.00
Close/Last 1645.00 1710.75 1670.50 1703.50 1700.50 1579.50 1575.00 1509.25 1579.50 1654.00 1732.50 1791.25

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