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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December NASDAQ 100(CME) as of Dec 31, 2010
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   3 3 3 14 14 14 15 15 15 15 15
Closed Higher     1 2 9 7 8 7 8 10 10 11
Exceeded High     1 2 8 7 6 6 7 10 10 9
Scenario Percentage     100% 100% 89% 100% 75% 86% 88% 100% 100% 82%
Avg Max Increase     12.94% 10.47% 8.43% 7.05% 8.99% 6.59% 9.76% 11.88% 12.37% 5.29%
Max Increase     12.94% 15.93% 12.53% 14.62% 12.41% 9.68% 18.14% 29.75% 26.95% 9.44%
Avg Days To Max Increase     23 26 17 21 22 15 21 20 9 8
Avg Max Decline     1.33% 0.43% -2.27% -2.35% -1.10% -2.83% -2.11% -4.22% -1.21% -0.99%
Max Decline     1.33% -0.19% -7.11% -3.60% -4.73% -5.97% -4.34% -21.51% -2.40% -3.34%
Avg Days to Max Decline     1 1 18 15 3 9 14 7 4 2
2010 Contract Condition     Yes Yes Yes     Yes   Yes Yes  
Action     Yes Yes No     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   3 3 3 14 14 14 15 15 15 15 15
Closed Lower   3 2 1 5 7 6 8 7 5 5 4
Penetrated Low   3 2   4 5 5 6 5 3 2  
Scenario Percentage   100% 100% 0% 80% 71% 83% 75% 71% 60% 40% 0%
Avg Max Decline   7.27% 6.63%   13.82% 11.17% 6.22% 12.22% 13.58% 24.67% 25.10%  
Max Decline   11.40% 6.82%   22.01% 26.24% 18.32% 35.81% 26.13% 36.68% 26.18%  
Avg Days To Max Decline   9 9   19 16 8 15 15 19 25  
Avg Max Increase   -3.91% 1.69%   -2.00% -3.14% -0.53% -3.38% -7.91% -2.44% -3.44%  
Max Increase   -8.21% 1.16%   -3.71% -8.52% -1.43% -9.09% -24.96% -6.40% -3.85%  
Avg Days to Max Increase   3 4   7 8 3 6 19 1 5  
2010 Contract Condition   Yes       Yes Yes   Yes     Yes
Action   Yes       Yes Yes   No     Not Yet
High 1872.80 1887.00 1816.50 1960.50 2048.50 2023.00 1915.00 1894.00 1914.00 2032.00 2136.00 2197.50
Low 1763.50 1731.50 1727.30 1838.00 1947.00 1787.30 1735.00 1718.00 1749.00 1817.50 1961.00 2084.00
Close/Last 1854.80 1734.50 1813.80 1950.80 1994.50 1847.80 1735.80 1860.00 1763.80 1995.50 2122.00 2117.00

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