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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for NASDAQ Composite Index as of Jan 01, 2007
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   10 11 11 11 12 12 12 12 12 12 12
Closed Higher   7 4 5 6 6 8 4 6 7 7 10
Exceeded High   4 4 4 5 6 6 4 6 7 6 7
Scenario Percentage   57% 100% 80% 83% 100% 75% 100% 100% 100% 86% 70%
Avg Max Increase   5.54% 9.90% 8.61% 10.59% 9.04% 9.76% 6.38% 7.48% 10.26% 17.79% 7.48%
Max Increase   13.67% 12.12% 19.09% 16.38% 18.33% 13.62% 10.30% 12.37% 26.34% 37.90% 22.62%
Avg Days To Max Increase   19 22 24 20 23 19 14 16 18 20 15
Avg Max Decline   -0.82% -2.93% -2.42% -3.01% -0.98% -1.29% -2.76% -1.49% -4.88% -0.98% -1.21%
Max Decline   -2.86% -6.30% -5.34% -8.01% -1.77% -3.68% -5.42% -3.92% -20.66% -2.80% -3.71%
Avg Days to Max Decline   4 6 10 10 7 2 7 15 9 4 3
2006 Contract Condition   Yes   Yes         Yes Yes Yes Yes
Action   Yes   Yes         Yes Yes Yes Not Yet
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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   10 11 11 11 12 12 12 12 12 12 12
Closed Lower   3 7 6 5 6 4 8 6 5 5 2
Penetrated Low   2 5 5 4 4 3 6 5 3 2 1
Scenario Percentage   67% 71% 83% 80% 67% 75% 75% 83% 60% 40% 50%
Avg Max Decline   8.70% 10.49% 11.78% 13.33% 11.58% 13.66% 14.44% 12.44% 14.01% 20.18% 11.93%
Max Decline   12.28% 24.74% 33.46% 21.19% 27.12% 19.10% 31.57% 23.17% 31.31% 32.10% 11.93%
Avg Days To Max Decline   17 21 19 20 17 20 13 15 17 18 21
Avg Max Increase   -1.44% -4.45% -1.93% -2.73% -2.60% -0.63% -2.13% -6.76% -1.87% -3.55% -16.58%
Max Increase   -2.45% -12.40% -4.26% -4.21% -7.30% -1.27% -7.42% -18.04% -4.32% -3.82% -16.58%
Avg Days to Max Increase   16 7 5 7 5 2 8 18 2 13 11
2006 Contract Condition     Yes   Yes Yes Yes Yes        
Action     No   Yes Yes Yes No        
High 2273.40 2331.40 2310.60 2340.80 2370.90 2345.00 2219.90 2190.40 2185.70 2270.00 2379.10 2466.00
Low 2205.30 2243.70 2239.80 2249.70 2310.40 2158.80 2072.50 2020.40 2057.70 2155.30 2237.60 2330.80
Close/Last 2205.30 2305.80 2281.40 2339.80 2322.60 2178.90 2172.10 2091.50 2183.80 2258.40 2366.70 2431.80

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