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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for NASDAQ 100 Index as of Sep 30, 2017
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   31 31 31 31 31 31 31 31 31 31 31
Closed Higher   20 17 20 17 21 14 19 18 19 20 20
Exceeded High   14 16 17 15 20 12 16 16 18 18 18
Scenario Percentage   70% 94% 85% 88% 95% 86% 84% 89% 95% 90% 90%
Avg Max Increase   9.12% 8.08% 8.50% 8.54% 5.89% 8.44% 6.72% 6.97% 9.27% 11.41% 5.76%
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 20 21 15 16 20 19 19 20 16 14
Avg Max Decline   -1.58% -2.55% -2.52% -2.52% -2.47% -1.75% -2.69% -3.10% -4.06% -2.09% -1.11%
Max Decline   -12.33% -7.30% -9.13% -8.23% -7.61% -5.58% -7.49% -9.34% -20.97% -4.99% -3.61%
Avg Days to Max Decline   5 8 8 9 12 7 12 15 10 7 5
2017 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes   Yes  
Action   Yes Yes Yes Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   31 31 31 31 31 31 31 31 31 31 31
Closed Lower   11 14 11 14 10 17 12 13 12 11 11
Penetrated Low   8 12 6 9 7 11 9 7 8 7 4
Scenario Percentage   73% 86% 55% 64% 70% 65% 75% 54% 67% 64% 36%
Avg Max Decline   7.21% 8.75% 7.56% 10.18% 10.15% 9.01% 12.99% 12.05% 17.05% 11.49% 8.45%
Max Decline   14.21% 29.34% 14.29% 23.27% 28.07% 18.55% 35.32% 25.90% 38.59% 33.74% 13.23%
Avg Days To Max Decline   13 16 16 20 14 13 15 13 15 14 13
Avg Max Increase   -2.37% -3.27% -1.58% -3.50% -2.77% -2.24% -2.97% -5.84% -2.39% -1.81% -5.71%
Max Increase   -9.03% -15.76% -2.32% -6.71% -9.11% -6.76% -9.40% -23.92% -6.78% -3.59% -19.32%
Avg Days to Max Increase   4 7 5 18 6 9 7 14 3 7 5
2017 Contract Condition             Yes     Yes    
Action             Yes     Not Yet    
High 4992.10 5172.40 5358.50 5451.50 5600.00 5813.30 5897.70 5995.80 5995.50 6013.00 6005.20  
Low 4721.40 4884.50 5128.80 5316.00 5353.60 5570.30 5599.40 5579.60 5750.50 5839.90 5955.80  
Close/Last 4863.60 5116.80 5330.30 5436.20 5583.50 5788.80 5646.90 5880.30 5988.60 5979.30 5981.90  

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