|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December NASDAQ 100(CME) as of Jan 07, 2009 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
1 |
1 |
1 |
12 |
12 |
12 |
13 |
13 |
13 |
13 |
13 |
| Closed Higher |
|
|
|
7 |
6 |
7 |
5 |
7 |
8 |
9 |
10 |
| Exceeded High |
|
|
|
7 |
6 |
5 |
4 |
6 |
8 |
8 |
8 |
| Scenario Percentage |
|
|
|
100% |
100% |
71% |
80% |
86% |
100% |
89% |
80% |
| Avg Max Increase |
|
|
|
8.53% |
6.24% |
8.28% |
5.16% |
9.73% |
12.84% |
15.21% |
5.97% |
| Max Increase |
|
|
|
12.53% |
14.62% |
11.39% |
9.68% |
18.14% |
29.75% |
26.95% |
12.30% |
| Avg Days To Max Increase |
|
|
|
18 |
20 |
21 |
10 |
19 |
25 |
11 |
8 |
| Avg Max Decline |
|
|
|
-2.08% |
-2.38% |
-0.37% |
-2.15% |
-2.12% |
-4.51% |
-1.02% |
-1.00% |
| Max Decline |
|
|
|
-7.11% |
-3.60% |
-2.77% |
-5.35% |
-4.34% |
-21.51% |
-2.40% |
-3.34% |
| Avg Days to Max Decline |
|
|
|
18 |
12 |
2 |
3 |
16 |
10 |
3 |
3 |
| 2008 Contract Condition |
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
|
| Action |
|
|
Yes |
Yes |
Yes |
|
Yes |
No |
|
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
1 |
1 |
1 |
12 |
12 |
12 |
13 |
13 |
13 |
13 |
13 |
| Closed Lower |
1 |
1 |
1 |
5 |
6 |
5 |
8 |
6 |
5 |
4 |
3 |
| Penetrated Low |
1 |
1 |
|
4 |
4 |
4 |
6 |
5 |
3 |
2 |
|
| Scenario Percentage |
100% |
100% |
0% |
80% |
67% |
80% |
75% |
83% |
60% |
50% |
0% |
| Avg Max Decline |
10.01% |
6.82% |
|
13.28% |
12.21% |
7.44% |
12.19% |
13.58% |
24.54% |
25.10% |
|
| Max Decline |
10.01% |
6.82% |
|
20.68% |
26.24% |
17.99% |
35.81% |
26.13% |
36.27% |
26.18% |
|
| Avg Days To Max Decline |
10 |
10 |
|
19 |
20 |
10 |
15 |
15 |
19 |
25 |
|
| Avg Max Increase |
-0.83% |
2.21% |
|
-1.91% |
-3.02% |
-0.65% |
-3.34% |
-7.91% |
-2.43% |
-3.31% |
|
| Max Increase |
-0.83% |
2.21% |
|
-3.40% |
-8.52% |
-1.25% |
-9.09% |
-24.96% |
-6.28% |
-3.59% |
|
| Avg Days to Max Increase |
1 |
5 |
|
8 |
5 |
4 |
6 |
19 |
1 |
5 |
|
| 2008 Contract Condition |
Yes |
Yes |
|
|
|
Yes |
|
|
Yes |
Yes |
Yes |
| Action |
Yes |
Yes |
|
|
|
Yes |
|
|
Yes |
Yes |
Not Yet |
| High |
2147.50 |
1909.00 |
1841.30 |
1956.00 |
2054.30 |
2075.00 |
1878.00 |
1974.80 |
1918.00 |
1592.00 |
1385.00 |
| Low |
1839.50 |
1776.80 |
1703.80 |
1810.80 |
1975.30 |
1854.80 |
1791.00 |
1820.80 |
1490.00 |
1159.00 |
1016.00 |
| Close/Last |
1893.30 |
1776.80 |
1804.00 |
1939.80 |
2053.80 |
1854.80 |
1862.50 |
1882.50 |
1594.30 |
1337.00 |
1186.00 |
|
|
