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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for NASDAQ 100 Index as of May 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   23 24 24 24 24 24 24 24 24 24 24
Closed Higher   15 15 12 17 11 16 13 17 12 12 15
Exceeded High   14 15 11 11 10 13 13 16 10 11 11
Scenario Percentage   93% 100% 92% 65% 91% 81% 100% 94% 83% 92% 73%
Avg Max Increase   13.58% 11.48% 10.73% 9.61% 9.90% 9.91% 9.39% 6.10% 8.81% 6.84% 5.62%
Max Increase   42.20% 36.61% 26.06% 15.29% 15.72% 17.94% 16.40% 22.95% 12.91% 10.16% 14.20%
Avg Days To Max Increase   16 17 19 22 20 21 16 14 20 17 21
Avg Max Decline   -2.13% -2.30% -3.33% -1.94% -2.60% -2.90% -3.00% -2.18% -1.70% -2.88% -1.71%
Max Decline   -5.04% -7.02% -10.60% -12.33% -7.29% -9.12% -8.23% -4.49% -5.58% -7.48% -3.89%
Avg Days to Max Decline   7 14 7 4 5 8 10 11 5 8 5
2010 Contract Condition     Yes Yes   Yes Yes Yes        
Action     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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   23 24 24 24 24 24 24 24 24 24 24
Closed Lower   8 9 12 7 13 8 11 7 12 12 9
Penetrated Low   4 5 9 5 12 5 7 4 8 9 5
Scenario Percentage   50% 56% 75% 71% 92% 63% 64% 57% 67% 75% 56%
Avg Max Decline   17.68% 11.75% 9.72% 8.80% 8.76% 8.07% 11.08% 12.88% 8.82% 12.93% 10.90%
Max Decline   33.74% 18.96% 19.70% 14.21% 29.33% 14.29% 23.28% 28.08% 18.55% 35.33% 25.91%
Avg Days To Max Decline   20 11 16 18 16 16 22 19 14 14 15
Avg Max Increase   -2.25% -5.12% -5.76% -3.07% -3.27% -1.84% -3.68% -3.79% -1.56% -2.98% -2.84%
Max Increase   -3.58% -19.32% -18.36% -9.02% -15.77% -2.98% -6.74% -9.11% -4.07% -9.38% -6.99%
Avg Days to Max Increase   11 6 7 6 7 6 18 5 7 7 4
2010 Contract Condition   Yes     Yes       Yes Yes    
Action   Yes     Yes       Not Yet      
High 1754.50 1780.75 1814.25 1882.50 1897.25 1830.25 1976.25 2059.25 2039.50 1878.00    
Low 1585.50 1656.50 1652.25 1759.25 1734.00 1712.75 1826.50 1943.75 1752.25 1832.75    
Close/Last 1718.75 1667.00 1767.25 1860.25 1741.00 1818.50 1958.25 2000.50 1852.25 1835.00    

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