|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for S & P 100(OEX) as of Sep 30, 2007 |
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 |
23 |
23 |
23 |
23 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
| Closed Higher |
15 |
14 |
15 |
14 |
17 |
14 |
11 |
15 |
8 |
15 |
17 |
| Exceeded High |
13 |
12 |
13 |
14 |
15 |
10 |
9 |
12 |
8 |
13 |
15 |
| Scenario Percentage |
87% |
86% |
87% |
100% |
88% |
71% |
82% |
80% |
100% |
87% |
88% |
| Avg Max Increase |
5.59% |
4.95% |
5.78% |
5.32% |
4.28% |
5.51% |
3.56% |
3.13% |
7.13% |
7.47% |
3.81% |
| Max Increase |
13.80% |
9.22% |
13.00% |
12.10% |
13.06% |
11.71% |
7.09% |
10.02% |
19.90% |
14.70% |
8.07% |
| Avg Days To Max Increase |
17 |
16 |
22 |
21 |
21 |
17 |
15 |
12 |
21 |
19 |
17 |
| Avg Max Decline |
-1.67% |
-1.11% |
-1.86% |
-2.13% |
-1.76% |
-0.97% |
-1.80% |
-1.42% |
-2.11% |
-1.37% |
-1.03% |
| Max Decline |
-5.46% |
-4.03% |
-5.14% |
-4.52% |
-5.40% |
-3.95% |
-4.32% |
-3.13% |
-7.75% |
-5.60% |
-5.32% |
| Avg Days to Max Decline |
7 |
7 |
12 |
10 |
12 |
8 |
10 |
10 |
6 |
7 |
3 |
| 2007 Contract Condition |
Yes |
|
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
| Action |
Yes |
|
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
23 |
23 |
23 |
23 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
| Closed Lower |
8 |
9 |
8 |
9 |
7 |
10 |
13 |
9 |
16 |
9 |
7 |
| Penetrated Low |
6 |
6 |
6 |
3 |
4 |
5 |
9 |
7 |
11 |
2 |
7 |
| Scenario Percentage |
75% |
67% |
75% |
33% |
57% |
50% |
69% |
78% |
69% |
22% |
100% |
| Avg Max Decline |
4.66% |
7.14% |
2.98% |
5.47% |
8.99% |
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 |
17 |
18 |
17 |
17 |
17 |
14 |
11 |
| Avg Max Increase |
-2.01% |
-2.75% |
-2.29% |
-2.80% |
-1.80% |
-1.48% |
-2.21% |
-3.90% |
-2.56% |
-1.36% |
-4.81% |
| 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 |
7 |
6 |
9 |
15 |
10 |
5 |
20 |
| 2007 Contract Condition |
|
Yes |
|
|
|
Yes |
Yes |
|
|
|
|
| Action |
|
Yes |
|
|
|
Yes |
Yes |
|
|
|
|
| High |
670.00 |
671.45 |
657.65 |
686.80 |
705.05 |
707.75 |
720.25 |
700.10 |
717.40 |
724.90 |
|
| Low |
654.35 |
634.80 |
624.80 |
647.15 |
679.15 |
683.55 |
675.25 |
640.55 |
678.65 |
714.55 |
|
| Close/Last |
667.00 |
643.55 |
649.70 |
680.60 |
702.35 |
692.55 |
675.40 |
687.45 |
714.50 |
723.80 |
|
|
|
