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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for NASDAQ 100 Index as of Dec 31, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   31 31 31 31 31 31 31 31 31 32 32
Closed Higher   17 21 14 19 18 19 20 20 15 21 18
Exceeded High   15 20 12 16 16 18 18 19 14 15 15
Scenario Percentage   88% 95% 86% 84% 89% 95% 90% 95% 93% 71% 83%
Avg Max Increase   8.54% 5.89% 8.44% 6.72% 6.97% 9.27% 11.56% 10.00% 9.66% 8.90% 5.87%
Max Increase   16.40% 22.93% 12.91% 10.16% 19.67% 30.89% 42.20% 36.60% 26.08% 15.28% 15.72%
Avg Days To Max Increase   15 16 20 19 19 20 17 16 18 23 21
Avg Max Decline   -2.52% -2.47% -1.75% -2.69% -3.10% -4.06% -2.09% -2.11% -2.60% -1.46% -1.53%
Max Decline   -8.23% -7.61% -5.58% -7.49% -9.34% -20.97% -4.99% -7.00% -10.60% -12.33% -6.23%
Avg Days to Max Decline   9 12 7 12 15 10 7 14 8 5 5
2018 Contract Condition   Yes Yes   Yes Yes   Yes Yes Yes    
Action   Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   31 31 31 31 31 31 31 31 31 32 32
Closed Lower   14 10 17 12 13 12 11 11 16 11 14
Penetrated Low   9 7 11 9 7 8 7 5 11 8 10
Scenario Percentage   64% 70% 65% 75% 54% 67% 64% 45% 69% 73% 71%
Avg Max Decline   10.18% 10.15% 9.01% 12.99% 12.05% 17.05% 11.49% 11.72% 9.69% 7.21% 6.84%
Max Decline   23.27% 28.07% 18.55% 35.32% 25.90% 38.59% 33.74% 18.96% 19.70% 14.21% 19.82%
Avg Days To Max Decline   20 14 13 15 13 15 14 11 15 13 19
Avg Max Increase   -3.50% -2.77% -2.24% -2.97% -5.84% -2.39% -1.81% -5.13% -4.66% -2.37% -1.91%
Max Increase   -6.71% -9.11% -6.76% -9.40% -23.92% -6.78% -3.59% -19.32% -18.36% -9.03% -6.33%
Avg Days to Max Increase   18 6 9 7 14 3 7 6 6 4 5
2018 Contract Condition       Yes     Yes          
Action       Yes     No          
High 5451.50 5600.00 5813.30 5897.70 5995.80 5995.50 6013.00 6258.40 6426.00 6416.80    
Low 5316.00 5353.60 5570.30 5599.40 5579.60 5750.50 5839.90 5955.80 6194.60 6236.10    
Close/Last 5436.20 5583.50 5788.80 5646.90 5880.30 5988.60 5979.30 6248.60 6365.60 6394.70    

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