|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December NASDAQ 100(CME) as of Apr 04, 2008 |
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 |
11 |
11 |
11 |
12 |
12 |
12 |
12 |
12 |
| Closed Higher |
|
|
|
6 |
5 |
7 |
4 |
6 |
8 |
9 |
10 |
| Exceeded High |
|
|
|
6 |
5 |
5 |
3 |
6 |
8 |
8 |
8 |
| Scenario Percentage |
|
|
|
100% |
100% |
71% |
75% |
100% |
100% |
89% |
80% |
| Avg Max Increase |
|
|
|
8.78% |
7.29% |
8.28% |
4.87% |
9.73% |
12.84% |
14.80% |
5.60% |
| Max Increase |
|
|
|
12.53% |
14.62% |
11.39% |
9.68% |
18.14% |
29.75% |
26.95% |
9.44% |
| Avg Days To Max Increase |
|
|
|
21 |
23 |
21 |
9 |
19 |
25 |
9 |
7 |
| Avg Max Decline |
|
|
|
-2.73% |
-2.49% |
-0.37% |
-2.12% |
-2.12% |
-4.51% |
-1.02% |
-0.98% |
| Max Decline |
|
|
|
-7.11% |
-3.60% |
-2.77% |
-5.35% |
-4.34% |
-21.51% |
-2.40% |
-3.34% |
| Avg Days to Max Decline |
|
|
|
18 |
14 |
2 |
3 |
16 |
10 |
3 |
2 |
| 2006 Contract Condition |
|
|
|
|
|
|
|
Yes |
Yes |
Yes |
Yes |
| Action |
|
|
|
|
|
|
|
Yes |
Yes |
Yes |
Not Yet |
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 |
11 |
11 |
11 |
12 |
12 |
12 |
12 |
12 |
| Closed Lower |
|
|
|
5 |
6 |
4 |
8 |
6 |
4 |
3 |
2 |
| Penetrated Low |
|
|
|
4 |
4 |
3 |
6 |
5 |
2 |
1 |
|
| Scenario Percentage |
|
|
|
80% |
67% |
75% |
75% |
83% |
50% |
33% |
0% |
| Avg Max Decline |
|
|
|
13.28% |
12.21% |
8.77% |
12.19% |
13.58% |
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 |
|
|
|
19 |
20 |
9 |
15 |
15 |
19 |
30 |
|
| Avg Max Increase |
|
|
|
-1.91% |
-3.02% |
-0.46% |
-3.34% |
-7.91% |
-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 |
|
|
|
8 |
5 |
3 |
6 |
19 |
1 |
6 |
|
| 2006 Contract Condition |
|
|
|
Yes |
Yes |
Yes |
Yes |
|
|
|
|
| Action |
|
|
|
Yes |
Yes |
Yes |
No |
|
|
|
|
| High |
|
|
1764.00 |
1793.80 |
1762.80 |
1656.80 |
1620.50 |
1607.00 |
1682.50 |
1757.50 |
1830.00 |
| Low |
|
|
1729.50 |
1749.50 |
1605.50 |
1554.30 |
1479.80 |
1508.50 |
1578.00 |
1638.00 |
1701.00 |
| Close/Last |
|
|
1759.00 |
1750.00 |
1620.80 |
1610.50 |
1537.30 |
1601.80 |
1671.30 |
1742.80 |
1794.80 |
|
|
