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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March NASDAQ 100(CME) 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   1 1 1 12 13 13 13 13 13 13 13
Closed Higher   1 1   5 7 8 9 10 5 7 3
Exceeded High   1 1   4 6 8 8 10 4 2 2
Scenario Percentage   100% 100%   80% 86% 100% 89% 100% 80% 29% 67%
Avg Max Increase   6.93% 1.03%   5.17% 9.18% 12.56% 18.49% 11.44% 11.01% 6.99% 9.76%
Max Increase   6.93% 1.03%   9.62% 17.17% 29.81% 41.20% 35.77% 16.77% 12.73% 12.19%
Avg Days To Max Increase   5 5   10 19 25 17 15 13 14 14
Avg Max Decline   1.81% -1.81%   -2.40% -1.49% -3.86% -0.59% -1.81% -3.57% 0.42% -2.66%
Max Decline   1.81% -1.81%   -5.34% -2.82% -20.93% -3.91% -4.51% -12.63% -0.72% -6.48%
Avg Days to Max Decline   23 3   3 16 10 4 11 3 1 7
2009 Contract Condition   Yes Yes   Yes Yes       Yes    
Action   Yes Yes   Yes No       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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   1 1 1 12 13 13 13 13 13 13 13
Closed Lower       1 7 6 5 4 3 8 6 10
Penetrated Low       1 6 5 3 3 2 7 5 8
Scenario Percentage       100% 86% 83% 60% 75% 67% 88% 83% 80%
Avg Max Decline       2.63% 11.66% 12.50% 23.74% 21.88% 18.73% 9.94% 8.66% 5.29%
Max Decline       2.63% 33.68% 23.61% 35.45% 34.04% 19.72% 20.74% 14.32% 12.18%
Avg Days To Max Decline       15 15 15 19 21 13 19 15 12
Avg Max Increase       -1.38% -3.04% -5.95% -0.67% -3.45% -10.64% -7.85% -3.17% -2.12%
Max Increase       -1.38% -9.10% -24.14% -6.08% -5.52% -18.53% -17.58% -9.13% -6.43%
Avg Days to Max Increase       8 6 18 1 15 11 11 6 4
2009 Contract Condition       Yes     Yes Yes Yes   Yes Yes
Action       Yes     Yes Yes No   Yes Yes
High 1851.30 1965.50 2062.80 2083.00 1889.30 1984.00 1870.00 1588.50 1383.30 1254.00 1288.00 1287.00
Low 1713.80 1818.00 1983.30 1863.50 1814.50 1829.30 1520.00 1163.30 1041.50 1095.80 1130.00 1108.00
Close/Last 1810.80 1948.00 2061.80 1863.50 1871.30 1890.00 1613.50 1340.00 1188.80 1212.50 1179.30 1117.00

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