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| MRCI's ScenarioSM Study |
| ScenarioSM Study for S & P 100(OEX) as of Jul 31, 2006 |
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 |
22 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
| Closed Higher |
13 |
17 |
14 |
10 |
14 |
7 |
14 |
16 |
16 |
15 |
14 |
| Exceeded High |
13 |
15 |
10 |
8 |
11 |
7 |
12 |
16 |
16 |
13 |
11 |
| Scenario Percentage |
100% |
88% |
71% |
80% |
79% |
100% |
86% |
100% |
100% |
87% |
79% |
| Avg Max Increase |
5.62% |
4.28% |
5.51% |
3.30% |
2.75% |
7.35% |
7.86% |
5.87% |
5.99% |
5.58% |
4.04% |
| 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 |
21 |
20 |
15 |
15 |
16 |
18 |
| Avg Max Decline |
-2.25% |
-1.76% |
-0.97% |
-1.90% |
-1.48% |
-2.35% |
-1.40% |
-1.68% |
-2.69% |
-1.67% |
-0.85% |
| 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 |
12 |
8 |
10 |
9 |
6 |
7 |
15 |
9 |
7 |
4 |
| 2005 Contract Condition |
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
| Action |
|
Yes |
No |
|
Yes |
|
Yes |
Yes |
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
22 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
| Closed Lower |
9 |
6 |
9 |
13 |
9 |
16 |
9 |
7 |
7 |
8 |
9 |
| Penetrated Low |
3 |
3 |
5 |
9 |
7 |
11 |
2 |
4 |
5 |
6 |
7 |
| Scenario Percentage |
33% |
50% |
56% |
69% |
78% |
69% |
22% |
57% |
71% |
75% |
78% |
| Avg Max Decline |
5.47% |
10.71% |
9.71% |
8.67% |
7.06% |
7.44% |
6.85% |
3.47% |
6.81% |
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 |
18 |
17 |
17 |
17 |
14 |
11 |
17 |
20 |
16 |
| Avg Max Increase |
-2.80% |
-1.93% |
-1.48% |
-2.21% |
-3.90% |
-2.56% |
-1.36% |
-2.16% |
-4.19% |
-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 |
15 |
10 |
5 |
5 |
14 |
10 |
14 |
| 2005 Contract Condition |
Yes |
|
|
Yes |
|
Yes |
|
|
|
Yes |
|
| Action |
Yes |
|
|
Yes |
|
Yes |
|
|
|
Yes |
|
| High |
562.85 |
551.05 |
558.75 |
554.45 |
541.90 |
548.50 |
547.90 |
568.50 |
578.15 |
579.10 |
579.85 |
| Low |
540.85 |
526.55 |
541.15 |
527.15 |
518.65 |
529.85 |
521.90 |
539.20 |
557.45 |
556.45 |
564.65 |
| Close/Last |
540.90 |
545.15 |
553.85 |
537.65 |
538.75 |
534.85 |
540.60 |
557.45 |
575.25 |
564.90 |
574.40 |
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