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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Nikkei 225 Index as of May 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   44 44 44 44 45 45 45 45 45 45 45
Closed Higher   22 24 30 30 25 27 29 22 27 21 23
Exceeded High   15 20 28 26 20 26 24 18 24 16 19
Scenario Percentage   68% 83% 93% 87% 80% 96% 83% 82% 89% 76% 83%
Avg Max Increase   8.01% 6.62% 5.76% 6.48% 7.01% 6.27% 5.16% 5.23% 4.69% 7.42% 3.44%
Max Increase   20.86% 17.15% 17.85% 14.47% 18.00% 17.42% 15.21% 19.53% 14.68% 16.70% 9.69%
Avg Days To Max Increase   19 22 19 25 15 18 18 17 17 19 18
Avg Max Decline   -0.77% -1.74% -1.00% -2.24% -0.62% -0.96% -1.26% -1.62% -1.67% -1.33% -0.68%
Max Decline   -4.77% -12.91% -7.33% -7.57% -4.84% -5.33% -5.34% -7.34% -9.12% -3.54% -3.68%
Avg Days to Max Decline   8 8 8 13 10 7 11 9 9 8 4
2010 Contract Condition       Yes     Yes          
Action       Yes     Yes          
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   44 44 44 44 45 45 45 45 45 45 45
Closed Lower   22 20 14 14 20 18 14 23 18 24 22
Penetrated Low   11 10 9 8 15 13 6 15 15 18 17
Scenario Percentage   50% 50% 64% 57% 75% 72% 43% 65% 83% 75% 77%
Avg Max Decline   9.03% 6.41% 7.52% 12.21% 8.05% 5.59% 10.84% 6.18% 9.01% 10.08% 6.42%
Max Decline   20.46% 19.82% 17.87% 22.48% 22.34% 14.34% 16.92% 15.74% 26.28% 33.40% 20.43%
Avg Days To Max Decline   19 15 16 16 13 14 23 17 18 17 19
Avg Max Increase   -2.03% -1.58% -0.66% -2.64% -0.50% -1.07% -4.03% -2.57% -2.04% -1.00% -1.17%
Max Increase   -7.30% -5.36% -4.14% -5.77% -2.21% -4.41% -9.27% -8.14% -8.29% -4.60% -8.41%
Avg Days to Max Increase   7 9 7 11 7 4 9 13 7 7 4
2010 Contract Condition   Yes Yes   Yes Yes   Yes Yes      
Action   Yes No   Yes No   Yes Not Yet      
High 10577 10398 9979 10708 10982 10450 11148 11408 10848      
Low 9971 9629 9076 9233 10198 9867 10117 10866 9395      
Close/Last 10133 10035 9346 10546 10198 10126 11090 11057 9769      

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