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| MRCI's ScenarioSM Study |
| ScenarioSM Study for Nikkei 225 Index 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 |
24 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
| Closed Higher |
15 |
13 |
15 |
15 |
12 |
14 |
11 |
14 |
8 |
13 |
16 |
| Exceeded High |
13 |
11 |
15 |
14 |
10 |
12 |
8 |
11 |
8 |
9 |
11 |
| Scenario Percentage |
87% |
85% |
100% |
93% |
83% |
86% |
73% |
79% |
100% |
69% |
69% |
| Avg Max Increase |
7.30% |
8.23% |
6.47% |
4.84% |
5.72% |
4.97% |
8.05% |
5.09% |
5.62% |
8.49% |
3.85% |
| Max Increase |
13.37% |
18.78% |
15.19% |
11.71% |
19.53% |
14.68% |
16.70% |
11.04% |
10.60% |
20.86% |
10.58% |
| Avg Days To Max Increase |
28 |
17 |
17 |
18 |
17 |
16 |
16 |
15 |
25 |
21 |
17 |
| Avg Max Decline |
-3.60% |
-0.64% |
-1.24% |
-1.18% |
-1.63% |
-1.49% |
-1.81% |
-2.33% |
-2.24% |
-1.31% |
-0.60% |
| Max Decline |
-7.57% |
-4.84% |
-5.33% |
-4.88% |
-6.74% |
-6.89% |
-3.54% |
-4.94% |
-4.26% |
-4.77% |
-3.10% |
| Avg Days to Max Decline |
17 |
9 |
9 |
10 |
6 |
10 |
9 |
14 |
11 |
10 |
3 |
| 2007 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
|
| Action |
Yes |
No |
|
Yes |
Yes |
No |
|
|
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 |
24 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
| Closed Lower |
9 |
12 |
10 |
10 |
13 |
11 |
14 |
11 |
17 |
12 |
9 |
| Penetrated Low |
5 |
7 |
9 |
5 |
10 |
9 |
10 |
9 |
14 |
6 |
6 |
| Scenario Percentage |
56% |
58% |
90% |
50% |
77% |
82% |
71% |
82% |
82% |
50% |
67% |
| Avg Max Decline |
12.78% |
10.99% |
6.59% |
11.27% |
7.39% |
10.16% |
10.86% |
9.08% |
9.16% |
10.46% |
21.11% |
| Max Decline |
22.47% |
22.34% |
14.33% |
16.92% |
15.74% |
26.28% |
33.39% |
23.85% |
22.05% |
20.46% |
43.69% |
| Avg Days To Max Decline |
20 |
11 |
14 |
22 |
16 |
19 |
15 |
12 |
16 |
25 |
8 |
| Avg Max Increase |
-2.15% |
-0.34% |
-1.23% |
-3.93% |
-2.87% |
-2.75% |
-1.71% |
-2.23% |
-2.43% |
-3.44% |
-3.09% |
| Max Increase |
-5.77% |
-1.93% |
-3.47% |
-9.28% |
-8.14% |
-8.29% |
-4.60% |
-8.41% |
-9.98% |
-7.30% |
-6.32% |
| Avg Days to Max Increase |
6 |
2 |
5 |
9 |
11 |
8 |
8 |
7 |
7 |
12 |
15 |
| 2007 Contract Condition |
|
|
Yes |
|
|
|
Yes |
Yes |
|
|
|
| Action |
|
|
No |
|
|
|
Yes |
Not Yet |
|
|
|
| High |
17618 |
18300 |
17558 |
17782 |
17876 |
18297 |
18295 |
17274 |
16929 |
16900 |
|
| Low |
16758 |
17200 |
16533 |
16999 |
17203 |
17592 |
17043 |
15262 |
15611 |
16686 |
|
| Close/Last |
17383 |
17604 |
17288 |
17400 |
17876 |
18138 |
17249 |
16569 |
16786 |
16846 |
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