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| MRCI's ScenarioSM Study |
| ScenarioSM Study for S & P 100(OEX) 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
21 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
| Closed Higher |
13 |
16 |
14 |
9 |
14 |
6 |
14 |
15 |
16 |
14 |
13 |
| Exceeded High |
13 |
14 |
10 |
8 |
11 |
6 |
12 |
15 |
16 |
12 |
10 |
| Scenario Percentage |
100% |
88% |
71% |
89% |
79% |
100% |
86% |
100% |
100% |
86% |
77% |
| Avg Max Increase |
5.62% |
4.41% |
5.51% |
3.30% |
2.75% |
8.06% |
7.86% |
6.09% |
5.99% |
5.79% |
4.17% |
| Max Increase |
12.10% |
13.06% |
11.71% |
7.09% |
10.02% |
19.90% |
14.70% |
14.78% |
13.37% |
13.61% |
7.32% |
| Avg Days To Max Increase |
22 |
21 |
17 |
13 |
11 |
20 |
20 |
16 |
15 |
16 |
17 |
| Avg Max Decline |
-2.25% |
-1.74% |
-0.97% |
-1.90% |
-1.48% |
-2.04% |
-1.40% |
-1.73% |
-2.69% |
-1.65% |
-0.89% |
| Max Decline |
-4.52% |
-5.40% |
-3.95% |
-4.32% |
-3.13% |
-7.75% |
-5.60% |
-5.32% |
-6.31% |
-5.46% |
-2.25% |
| Avg Days to Max Decline |
10 |
11 |
8 |
10 |
9 |
4 |
7 |
13 |
9 |
7 |
3 |
| 2001 Contract Condition |
|
|
Yes |
|
Yes |
|
|
|
|
Yes |
|
| Action |
|
|
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
21 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
| Closed Lower |
8 |
6 |
8 |
13 |
8 |
16 |
8 |
7 |
6 |
8 |
9 |
| Penetrated Low |
3 |
3 |
4 |
9 |
6 |
11 |
2 |
4 |
4 |
6 |
7 |
| Scenario Percentage |
38% |
50% |
50% |
69% |
75% |
69% |
25% |
57% |
67% |
75% |
78% |
| Avg Max Decline |
5.47% |
10.71% |
11.93% |
8.67% |
7.60% |
7.44% |
6.85% |
3.47% |
8.45% |
4.66% |
21.38% |
| Max Decline |
11.49% |
27.26% |
21.45% |
22.84% |
16.86% |
32.90% |
12.55% |
5.82% |
10.05% |
7.55% |
41.60% |
| Avg Days To Max Decline |
17 |
18 |
21 |
17 |
16 |
17 |
14 |
11 |
19 |
20 |
16 |
| Avg Max Increase |
-2.80% |
-1.93% |
-1.58% |
-2.21% |
-4.23% |
-2.56% |
-1.36% |
-2.16% |
-4.40% |
-2.01% |
-4.88% |
| Max Increase |
-3.94% |
-3.34% |
-3.56% |
-7.88% |
-9.65% |
-5.18% |
-1.46% |
-6.08% |
-6.82% |
-4.08% |
-16.30% |
| Avg Days to Max Increase |
10 |
9 |
6 |
9 |
16 |
10 |
5 |
5 |
14 |
10 |
14 |
| 2001 Contract Condition |
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
| Action |
No |
No |
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
| High |
830.25 |
799.05 |
804.95 |
820.95 |
829.20 |
834.80 |
768.50 |
760.45 |
739.70 |
725.40 |
720.45 |
| Low |
723.30 |
724.75 |
764.40 |
771.95 |
776.70 |
754.85 |
685.55 |
684.30 |
656.70 |
662.55 |
626.85 |
| Close/Last |
781.40 |
761.55 |
790.25 |
782.65 |
828.05 |
759.85 |
750.95 |
697.30 |
686.45 |
715.20 |
640.70 |
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