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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Nikkei 225 Index as of Jan 01, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   30 25 28 29 21 29 21 23 20 22 25
Exceeded High   26 19 26 25 18 26 15 19 19 15 20
Scenario Percentage   87% 76% 93% 86% 86% 90% 71% 83% 95% 68% 80%
Avg Max Increase   6.95% 7.34% 6.37% 5.02% 5.23% 4.57% 6.86% 5.45% 5.05% 8.25% 4.49%
Max Increase   16.49% 18.00% 17.42% 15.21% 19.53% 14.68% 16.70% 12.62% 12.91% 20.86% 11.09%
Avg Days To Max Increase   25 17 18 17 17 17 19 14 20 19 18
Avg Max Decline   -2.13% -0.83% -0.96% -1.18% -1.62% -1.81% -1.51% -1.47% -1.77% -1.06% -0.48%
Max Decline   -7.57% -4.84% -5.33% -5.34% -7.34% -9.12% -3.54% -4.74% -8.28% -4.77% -3.10%
Avg Days to Max Decline   12 10 7 10 9 10 8 8 12 8 3
2012 Contract Condition   Yes Yes Yes     Yes   Yes Yes Yes Yes
Action   Yes Yes No     Yes   Yes Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 20 17 14 24 16 24 22 25 23 20
Penetrated Low   9 14 11 8 16 13 17 17 20 12 6
Scenario Percentage   60% 70% 65% 57% 67% 81% 71% 77% 80% 52% 30%
Avg Max Decline   11.21% 8.08% 5.96% 11.75% 5.93% 9.38% 10.12% 10.84% 10.39% 8.70% 5.26%
Max Decline   22.48% 22.34% 14.34% 16.92% 15.74% 26.28% 33.40% 46.49% 37.88% 20.46% 14.71%
Avg Days To Max Decline   15 13 13 21 15 19 17 15 18 20 13
Avg Max Increase   -2.61% -0.54% -0.97% -2.72% -2.37% -2.47% -1.11% -1.37% -2.26% -1.84% -0.40%
Max Increase   -5.77% -2.21% -3.47% -9.27% -8.14% -8.29% -4.60% -8.41% -9.98% -7.30% -2.58%
Avg Days to Max Increase   10 8 4 7 13 9 7 5 11 7 2
2012 Contract Condition         Yes Yes   Yes        
Action         Yes Yes   No        
High 8730 8912 9866 10255 10190 9472 9044 9136 9223 9289 9076 9493
Low 8272 8349 8780 9509 9388 8455 8239 8328 8513 8646 8488 8619
Close/Last 8455 8803 9723 10084 9521 8543 9007 8695 8840 8870 8928 9446

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