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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for NASDAQ 100 Index as of Jun 01, 2011
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 25 25 25 25 25 25 25 25 25 25 25
Closed Higher 17 12 17 14 17 12 13 15 16 16 15
Exceeded High 11 11 14 13 16 10 12 13 16 15 14
Scenario Percentage 65% 92% 82% 93% 94% 83% 92% 87% 100% 94% 93%
Avg Max Increase 9.62% 10.10% 9.48% 9.36% 6.10% 8.80% 7.01% 7.91% 9.80% 12.84% 6.71%
Max Increase 15.28% 15.72% 17.92% 16.40% 22.93% 12.91% 10.16% 19.67% 30.89% 42.20% 26.42%
Avg Days To Max Increase 22 21 22 16 14 20 18 18 19 16 13
Avg Max Decline -1.95% -2.33% -2.74% -2.83% -2.00% -1.71% -3.15% -2.83% -4.22% -2.11% -1.04%
Max Decline -12.33% -7.30% -9.13% -8.23% -4.33% -5.58% -7.49% -6.44% -20.97% -4.99% -3.61%
Avg Days to Max Decline 4 7 7 10 9 6 9 14 10 7 3
2010 Contract Condition   Yes Yes Yes     Yes   Yes Yes  
Action   Yes Yes No     Yes   Yes Yes  
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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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 25 25 25 25 25 25 25 25 25 25 25
Closed Lower 8 13 8 11 8 13 12 10 9 9 10
Penetrated Low 6 12 5 7 5 9 9 7 6 5 9
Scenario Percentage 75% 92% 62% 64% 62% 69% 75% 70% 67% 56% 90%
Avg Max Decline 7.60% 8.75% 8.06% 11.08% 11.95% 8.09% 12.99% 12.05% 20.56% 14.29% 26.55%
Max Decline 14.22% 29.34% 14.29% 23.22% 28.06% 18.56% 35.32% 25.90% 38.59% 33.74% 48.47%
Avg Days To Max Decline 15 16 16 22 15 12 15 13 17 16 12
Avg Max Increase -3.02% -3.27% -1.45% -3.70% -3.98% -1.44% -2.97% -5.84% -3.07% -2.08% -7.70%
Max Increase -9.03% -15.76% -2.32% -6.71% -9.11% -4.08% -9.40% -23.92% -6.78% -3.59% -19.32%
Avg Days to Max Increase 5 7 6 18 8 6 7 14 2 9 18
2010 Contract Condition Yes       Yes Yes   Yes     Yes
Action Yes       Yes Yes   No     Yes
High 1897.50 1830.40 1976.40 2059.40 2039.50 1939.80 1900.20 1918.80 2029.70 2137.30 2200.20
Low 1734.00 1712.90 1826.60 1944.00 1752.30 1734.90 1700.00 1747.30 1791.40 1963.70 2085.30
Close/Last 1741.00 1818.70 1958.30 2000.60 1852.40 1739.10 1864.00 1767.40 1998.00 2124.50 2117.30

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Did You Know?

Did you know cocoa prices reached a more than 32-year high just a couple months ago --- and then fell 20%!

Monthly Cocoa chart - 1973-2011

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