|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for NASDAQ 100 Index as of Sep 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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
| Closed Higher |
16 |
11 |
14 |
10 |
14 |
10 |
10 |
12 |
13 |
14 |
14 |
| Exceeded High |
10 |
10 |
11 |
10 |
13 |
8 |
9 |
11 |
13 |
14 |
13 |
| Scenario Percentage |
63% |
91% |
79% |
100% |
93% |
80% |
90% |
92% |
100% |
100% |
93% |
| Avg Max Increase |
10.25% |
9.78% |
9.32% |
10.18% |
5.83% |
8.57% |
6.57% |
7.34% |
10.32% |
13.37% |
6.73% |
| Max Increase |
15.28% |
15.72% |
17.92% |
16.40% |
22.93% |
12.16% |
10.16% |
19.67% |
30.89% |
42.20% |
26.42% |
| Avg Days To Max Increase |
22 |
20 |
22 |
17 |
13 |
19 |
17 |
17 |
20 |
15 |
12 |
| Avg Max Decline |
-2.05% |
-2.60% |
-3.18% |
-3.25% |
-1.84% |
-1.48% |
-2.94% |
-2.92% |
-4.76% |
-2.13% |
-1.08% |
| Max Decline |
-12.33% |
-7.30% |
-9.13% |
-8.23% |
-4.33% |
-4.08% |
-7.49% |
-6.44% |
-20.97% |
-4.99% |
-3.61% |
| Avg Days to Max Decline |
3 |
8 |
9 |
12 |
8 |
6 |
7 |
16 |
10 |
7 |
3 |
| 2007 Contract Condition |
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
| Action |
Yes |
|
Yes |
Yes |
Yes |
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
| 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 |
7 |
| Scenario Percentage |
60% |
90% |
71% |
64% |
57% |
64% |
73% |
78% |
63% |
43% |
100% |
| Avg Max Decline |
7.59% |
9.81% |
8.06% |
11.08% |
12.88% |
9.48% |
13.80% |
12.05% |
17.53% |
15.63% |
24.15% |
| Max Decline |
14.22% |
29.34% |
14.29% |
23.22% |
28.06% |
18.56% |
35.32% |
25.90% |
38.59% |
33.74% |
38.75% |
| Avg Days To Max Decline |
21 |
18 |
16 |
22 |
19 |
13 |
15 |
13 |
16 |
20 |
12 |
| Avg Max Increase |
-1.70% |
-4.40% |
-1.45% |
-3.70% |
-3.79% |
-1.49% |
-2.94% |
-5.84% |
-3.68% |
-1.83% |
-8.68% |
| Max Increase |
-2.74% |
-15.76% |
-2.32% |
-6.71% |
-9.11% |
-4.08% |
-9.40% |
-23.92% |
-6.78% |
-2.66% |
-19.32% |
| Avg Days to Max Increase |
7 |
8 |
6 |
18 |
5 |
8 |
7 |
14 |
3 |
14 |
18 |
| 2007 Contract Condition |
|
Yes |
|
|
|
|
Yes |
|
|
|
|
| Action |
|
Yes |
|
|
|
|
Yes |
|
|
|
|
| High |
1847.50 |
1851.50 |
1807.40 |
1896.80 |
1931.10 |
1948.60 |
2060.30 |
1995.00 |
2102.00 |
2120.80 |
|
| Low |
1731.70 |
1746.30 |
1711.00 |
1761.70 |
1857.30 |
1876.50 |
1932.00 |
1805.70 |
1943.30 |
2092.60 |
|
| Close/Last |
1792.30 |
1761.60 |
1772.40 |
1867.80 |
1928.20 |
1934.10 |
1932.10 |
1988.70 |
2091.10 |
2117.00 |
|
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|
