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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, 2010
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 Feb Feb Feb Feb Feb Feb
Tested Years   13 14 14 14 15 15 14 14 14 14 14
Closed Higher   8 4 7 9 9 8 5 8 8 8 10
Exceeded High   5 4 6 8 8 6 5 7 8 6 7
Scenario Percentage   63% 100% 86% 89% 89% 75% 100% 88% 100% 75% 70%
Avg Max Increase   4.93% 9.90% 9.56% 8.50% 7.47% 9.76% 6.21% 7.86% 9.70% 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   20 22 22 16 20 19 14 18 20 20 15
Avg Max Decline   -0.77% -2.93% -1.36% -1.38% -1.23% -1.29% -2.55% -1.48% -4.16% -0.98% -1.21%
Max Decline   -2.86% -6.30% -5.34% -8.01% -2.29% -3.68% -5.42% -3.92% -20.66% -2.80% -3.71%
Avg Days to Max Decline   5 6 7 11 6 2 6 14 10 4 3
2009 Contract Condition       Yes 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 Dec Jan Feb Mar Apr May Feb Feb Feb Feb Feb Feb
Tested Years   13 14 14 14 15 15 14 14 14 14 14
Closed Lower   5 10 7 5 6 7 9 6 6 6 4
Penetrated Low   4 8 5 4 4 5 7 5 4 3 1
Scenario Percentage   80% 80% 71% 80% 67% 71% 78% 83% 67% 50% 25%
Avg Max Decline   9.75% 8.58% 11.78% 13.33% 11.58% 10.06% 12.91% 12.44% 19.71% 21.29% 11.93%
Max Decline   12.36% 24.74% 33.46% 21.19% 27.12% 19.10% 31.57% 23.17% 36.80% 32.10% 11.93%
Avg Days To Max Decline   12 16 19 20 17 18 13 15 18 18 21
Avg Max Increase   -2.92% -2.19% -1.93% -2.73% -2.60% -1.38% -2.20% -6.76% -1.25% -3.51% -16.58%
Max Increase   -7.81% -12.40% -4.26% -4.21% -7.30% -4.49% -7.42% -18.04% -4.32% -3.82% -16.58%
Avg Days to Max Increase   9 5 5 7 5 5 8 18 2 10 11
2009 Contract Condition   Yes Yes                  
Action   Yes Yes                  
High 1589.90 1652.40 1591.70 1545.20 1694.30 1763.60            
Low 1398.10 1440.90 1377.80 1293.90 1551.60 1664.20            
Close/Last 1577.00 1476.40 1377.80 1528.60 1673.80 1734.50            

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