|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for S & P 100(OEX) as of Jan 07, 2009 |
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 |
24 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
| Closed Higher |
15 |
18 |
14 |
11 |
16 |
9 |
16 |
17 |
17 |
16 |
14 |
| Exceeded High |
15 |
16 |
10 |
9 |
13 |
9 |
13 |
17 |
17 |
14 |
11 |
| Scenario Percentage |
100% |
89% |
71% |
82% |
81% |
100% |
81% |
100% |
100% |
88% |
79% |
| Avg Max Increase |
5.23% |
4.17% |
5.51% |
3.56% |
3.41% |
6.65% |
7.56% |
5.70% |
5.73% |
5.23% |
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 |
21 |
21 |
17 |
15 |
12 |
20 |
19 |
16 |
15 |
16 |
18 |
| Avg Max Decline |
-2.00% |
-1.82% |
-0.97% |
-1.80% |
-1.41% |
-1.87% |
-1.37% |
-1.64% |
-2.58% |
-1.62% |
-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 |
9 |
13 |
8 |
10 |
10 |
5 |
7 |
14 |
9 |
7 |
4 |
| 2008 Contract Condition |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
|
|
|
| Action |
Yes |
Yes |
|
|
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 |
24 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
| Closed Lower |
9 |
7 |
11 |
14 |
9 |
16 |
9 |
8 |
8 |
9 |
11 |
| Penetrated Low |
3 |
4 |
6 |
10 |
7 |
11 |
2 |
5 |
6 |
7 |
9 |
| Scenario Percentage |
33% |
57% |
55% |
71% |
78% |
69% |
22% |
63% |
75% |
78% |
82% |
| Avg Max Decline |
5.47% |
8.99% |
9.34% |
8.32% |
7.06% |
7.44% |
6.85% |
5.59% |
7.88% |
5.31% |
19.07% |
| Max Decline |
11.49% |
27.26% |
21.45% |
22.84% |
16.86% |
32.90% |
12.55% |
14.05% |
13.25% |
9.24% |
41.60% |
| Avg Days To Max Decline |
17 |
17 |
18 |
17 |
17 |
17 |
14 |
13 |
18 |
20 |
17 |
| Avg Max Increase |
-2.80% |
-1.80% |
-1.90% |
-2.35% |
-3.90% |
-2.56% |
-1.36% |
-2.29% |
-3.53% |
-1.83% |
-4.09% |
| Max Increase |
-3.94% |
-3.34% |
-4.00% |
-7.88% |
-9.65% |
-5.18% |
-1.46% |
-6.08% |
-6.82% |
-4.08% |
-16.30% |
| Avg Days to Max Increase |
10 |
7 |
8 |
9 |
15 |
10 |
5 |
6 |
12 |
8 |
16 |
| 2008 Contract Condition |
|
|
Yes |
Yes |
|
|
|
Yes |
Yes |
Yes |
Yes |
| Action |
|
|
Yes |
Yes |
|
|
|
Yes |
Yes |
Yes |
Yes |
| High |
686.80 |
705.05 |
707.75 |
720.25 |
700.10 |
717.40 |
734.50 |
722.10 |
711.40 |
687.45 |
647.95 |
| Low |
647.15 |
679.15 |
683.55 |
675.25 |
640.55 |
678.65 |
695.65 |
657.15 |
671.90 |
594.80 |
609.45 |
| Close/Last |
680.60 |
702.35 |
692.55 |
675.40 |
687.45 |
714.50 |
724.40 |
692.05 |
685.65 |
643.05 |
613.60 |
|
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