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 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December NASDAQ 100(CME) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jun |
Jun |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
8 |
8 |
8 |
9 |
9 |
9 |
9 |
9 |
| Closed Higher |
|
|
|
5 |
3 |
6 |
3 |
4 |
5 |
7 |
8 |
| Exceeded High |
|
|
|
5 |
3 |
4 |
2 |
4 |
5 |
7 |
7 |
| Scenario Percentage |
|
|
|
100% |
100% |
67% |
67% |
100% |
100% |
100% |
88% |
| Avg Max Increase |
|
|
|
9.86% |
8.69% |
8.94% |
6.66% |
9.26% |
16.15% |
16.67% |
6.44% |
| Max Increase |
|
|
|
12.53% |
14.62% |
11.39% |
9.68% |
18.14% |
29.75% |
26.95% |
12.30% |
| Avg Days To Max Increase |
|
|
|
22 |
23 |
21 |
12 |
15 |
24 |
9 |
9 |
| Avg Max Decline |
|
|
|
-3.30% |
-2.11% |
-0.67% |
-3.29% |
-2.34% |
-5.64% |
-0.82% |
-1.24% |
| Max Decline |
|
|
|
-7.11% |
-3.59% |
-2.77% |
-5.35% |
-4.34% |
-21.51% |
-1.77% |
-3.34% |
| Avg Days to Max Decline |
|
|
|
16 |
10 |
2 |
4 |
20 |
12 |
3 |
3 |
| 2001 Contract Condition |
|
|
|
Yes |
|
Yes |
|
|
|
Yes |
Yes |
| Action |
|
|
|
Yes |
|
No |
|
|
|
Yes |
Yes |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jun |
Jun |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
8 |
8 |
8 |
9 |
9 |
9 |
9 |
9 |
| Closed Lower |
|
|
|
3 |
5 |
2 |
6 |
5 |
4 |
2 |
1 |
| Penetrated Low |
|
|
|
3 |
3 |
1 |
5 |
4 |
2 |
1 |
|
| Scenario Percentage |
|
|
|
100% |
60% |
50% |
83% |
80% |
50% |
50% |
0% |
| Avg Max Decline |
|
|
|
13.98% |
13.38% |
17.99% |
13.69% |
15.81% |
18.67% |
26.18% |
|
| Max Decline |
|
|
|
20.68% |
26.24% |
17.99% |
35.81% |
26.13% |
32.73% |
26.18% |
|
| Avg Days To Max Decline |
|
|
|
21 |
20 |
5 |
15 |
16 |
19 |
30 |
|
| Avg Max Increase |
|
|
|
-2.30% |
-3.29% |
-0.94% |
-3.46% |
-9.31% |
-3.72% |
-3.03% |
|
| Max Increase |
|
|
|
-3.40% |
-8.52% |
-0.94% |
-9.09% |
-24.96% |
-6.28% |
-3.03% |
|
| Avg Days to Max Increase |
|
|
|
7 |
7 |
5 |
6 |
20 |
1 |
6 |
|
| 2001 Contract Condition |
|
|
|
|
Yes |
|
Yes |
Yes |
Yes |
|
|
| Action |
|
|
|
|
Yes |
|
Yes |
Yes |
No |
|
|
| High |
|
|
1797.50 |
1995.50 |
2098.00 |
2000.00 |
1866.50 |
1791.00 |
1516.00 |
1493.00 |
1648.00 |
| Low |
|
|
1618.00 |
1412.00 |
1824.50 |
1714.50 |
1642.00 |
1459.00 |
1097.00 |
1136.00 |
1360.00 |
| Close/Last |
|
|
1628.00 |
1908.50 |
1843.00 |
1865.00 |
1709.00 |
1485.00 |
1175.00 |
1369.00 |
1598.00 |
|
|