|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for NASDAQ 100 Index 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
23 |
23 |
| Closed Higher |
11 |
15 |
11 |
10 |
13 |
14 |
15 |
14 |
10 |
17 |
11 |
| Exceeded High |
11 |
14 |
9 |
9 |
12 |
14 |
14 |
14 |
9 |
11 |
9 |
| Scenario Percentage |
100% |
93% |
82% |
90% |
92% |
100% |
93% |
100% |
90% |
65% |
82% |
| Avg Max Increase |
9.64% |
5.90% |
8.35% |
6.57% |
7.78% |
10.08% |
13.57% |
11.84% |
11.65% |
9.57% |
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 |
14 |
19 |
17 |
18 |
20 |
16 |
16 |
19 |
22 |
23 |
| Avg Max Decline |
-3.01% |
-1.90% |
-1.28% |
-2.94% |
-2.86% |
-4.42% |
-2.13% |
-2.38% |
-3.01% |
-1.95% |
-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 |
11 |
8 |
6 |
7 |
15 |
9 |
7 |
15 |
6 |
4 |
4 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
|
|
| Action |
Yes |
Yes |
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 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
23 |
23 |
| Closed Lower |
11 |
7 |
11 |
12 |
9 |
8 |
7 |
8 |
12 |
6 |
12 |
| Penetrated Low |
7 |
4 |
7 |
9 |
7 |
5 |
3 |
5 |
9 |
4 |
11 |
| Scenario Percentage |
64% |
57% |
64% |
75% |
78% |
63% |
43% |
63% |
75% |
67% |
92% |
| Avg Max Decline |
11.08% |
12.88% |
9.48% |
12.99% |
12.05% |
17.53% |
15.63% |
11.72% |
9.72% |
8.04% |
24.68% |
| Max Decline |
23.22% |
28.06% |
18.56% |
35.32% |
25.90% |
38.59% |
33.74% |
18.96% |
19.70% |
14.22% |
59.25% |
| Avg Days To Max Decline |
22 |
19 |
13 |
15 |
13 |
16 |
20 |
11 |
16 |
20 |
18 |
| Avg Max Increase |
-3.70% |
-3.79% |
-1.49% |
-2.97% |
-5.84% |
-3.68% |
-1.83% |
-5.13% |
-5.76% |
-1.59% |
-3.77% |
| 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 |
18 |
5 |
8 |
7 |
14 |
3 |
14 |
6 |
7 |
5 |
15 |
| 2008 Contract Condition |
|
|
|
Yes |
|
|
|
Yes |
Yes |
Yes |
Yes |
| Action |
|
|
|
Yes |
|
|
|
Yes |
Yes |
Yes |
Yes |
| High |
1896.80 |
1931.10 |
1948.60 |
2060.30 |
1995.00 |
2102.00 |
2239.20 |
2226.90 |
2147.70 |
2094.20 |
1865.00 |
| Low |
1761.70 |
1857.30 |
1876.50 |
1932.00 |
1805.70 |
1943.30 |
2088.80 |
1980.20 |
1999.60 |
1693.10 |
1714.90 |
| Close/Last |
1867.80 |
1928.20 |
1934.10 |
1932.10 |
1988.70 |
2091.10 |
2239.00 |
2089.10 |
2084.90 |
1841.40 |
1745.30 |
|
|
