|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for S & P 100(OEX) as of Oct 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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
22 |
22 |
22 |
22 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
| Closed Higher |
14 |
13 |
14 |
13 |
17 |
14 |
10 |
14 |
7 |
14 |
16 |
| Exceeded High |
12 |
11 |
12 |
13 |
15 |
10 |
8 |
11 |
7 |
12 |
14 |
| Scenario Percentage |
86% |
85% |
86% |
100% |
88% |
71% |
80% |
79% |
100% |
86% |
88% |
| Avg Max Increase |
5.81% |
5.12% |
6.04% |
5.62% |
4.28% |
5.51% |
3.30% |
2.75% |
7.35% |
7.58% |
3.87% |
| Max Increase |
13.80% |
9.22% |
13.00% |
12.10% |
13.06% |
11.71% |
7.09% |
10.02% |
19.90% |
14.44% |
7.99% |
| Avg Days To Max Increase |
17 |
15 |
23 |
22 |
21 |
17 |
13 |
11 |
21 |
17 |
15 |
| Avg Max Decline |
-1.65% |
-1.17% |
-1.91% |
-2.25% |
-1.76% |
-0.97% |
-1.90% |
-1.48% |
-2.35% |
-1.40% |
-0.73% |
| Max Decline |
-5.46% |
-4.03% |
-5.14% |
-4.52% |
-5.40% |
-3.95% |
-4.32% |
-3.13% |
-7.75% |
-5.60% |
-2.89% |
| Avg Days to Max Decline |
7 |
6 |
11 |
10 |
12 |
8 |
10 |
9 |
6 |
7 |
2 |
| 2006 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
|
| Action |
Yes |
Yes |
Yes |
Yes |
|
|
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
22 |
22 |
22 |
22 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
| Closed Lower |
8 |
9 |
8 |
9 |
6 |
9 |
13 |
9 |
16 |
9 |
7 |
| Penetrated Low |
6 |
6 |
6 |
3 |
3 |
5 |
9 |
7 |
11 |
2 |
7 |
| Scenario Percentage |
75% |
67% |
75% |
33% |
50% |
56% |
69% |
78% |
69% |
22% |
100% |
| Avg Max Decline |
4.66% |
7.14% |
2.98% |
5.47% |
10.71% |
9.71% |
8.67% |
7.06% |
7.44% |
6.85% |
11.66% |
| Max Decline |
7.55% |
14.45% |
4.46% |
11.49% |
27.26% |
21.45% |
22.84% |
16.86% |
32.90% |
12.55% |
19.62% |
| Avg Days To Max Decline |
20 |
22 |
13 |
17 |
18 |
18 |
17 |
17 |
17 |
14 |
11 |
| Avg Max Increase |
-2.01% |
-2.75% |
-2.29% |
-2.80% |
-1.93% |
-1.48% |
-2.21% |
-3.90% |
-2.56% |
-1.36% |
-4.55% |
| Max Increase |
-4.08% |
-5.81% |
-5.83% |
-3.94% |
-3.34% |
-3.56% |
-7.88% |
-9.65% |
-5.18% |
-1.46% |
-10.23% |
| Avg Days to Max Increase |
10 |
10 |
5 |
10 |
9 |
6 |
9 |
15 |
10 |
5 |
20 |
| 2006 Contract Condition |
|
|
|
|
Yes |
Yes |
|
|
|
|
|
| Action |
|
|
|
|
Yes |
No |
|
|
|
|
|
| High |
588.70 |
587.85 |
596.30 |
598.40 |
604.05 |
589.45 |
591.20 |
604.10 |
622.10 |
645.60 |
|
| Low |
569.45 |
568.35 |
578.20 |
580.65 |
572.15 |
559.00 |
562.90 |
582.55 |
597.00 |
617.70 |
|
| Close/Last |
578.80 |
580.75 |
587.85 |
595.90 |
581.20 |
580.10 |
588.75 |
602.00 |
620.00 |
640.35 |
|
|
|