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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 Dec 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   2 2 2 13 14 14 14 14 14 14 14
Closed Higher   2 2 1 6 8 9 9 11 6 7 4
Exceeded High   2 2 1 5 7 9 8 11 5 2 3
Scenario Percentage   100% 100% 100% 83% 88% 100% 89% 100% 83% 29% 75%
Avg Max Increase   7.29% 6.21% 11.21% 5.81% 9.22% 11.75% 18.49% 11.09% 9.25% 6.99% 8.59%
Max Increase   7.65% 11.39% 11.21% 9.62% 17.17% 29.81% 41.20% 35.77% 16.77% 12.73% 12.19%
Avg Days To Max Increase   7 17 28 12 19 24 17 15 12 14 14
Avg Max Decline   -0.91% -2.14% -4.73% -2.39% -1.60% -3.79% -0.59% -1.68% -2.79% 0.42% -1.70%
Max Decline   -3.63% -2.47% -4.73% -5.34% -2.82% -20.93% -3.91% -4.51% -12.63% -0.72% -6.48%
Avg Days to Max Decline   18 20 8 6 14 9 4 11 4 1 5
2010 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes Yes   Yes
Action   Yes Yes Yes Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   2 2 2 13 14 14 14 14 14 14 14
Closed Lower       1 7 6 5 5 3 8 7 10
Penetrated Low       1 6 5 3 3 2 7 6 8
Scenario Percentage       100% 86% 83% 60% 60% 67% 88% 86% 80%
Avg Max Decline       2.63% 11.66% 12.50% 23.74% 21.88% 18.73% 9.94% 7.51% 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 13 12
Avg Max Increase       -1.38% -3.04% -5.95% -0.67% -3.45% -10.64% -7.85% -3.15% -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
2010 Contract Condition               Yes     Yes  
Action               No     Yes  
High 1280.30 1398.50 1440.50 1505.50 1603.80 1639.30 1732.50 1775.00 1806.30 1882.00 1899.80 1832.50
Low 1050.30 1256.00 1347.80 1419.80 1404.30 1561.50 1585.00 1659.50 1663.00 1759.00 1731.00 1709.00
Close/Last 1243.00 1398.50 1439.80 1474.00 1598.80 1621.80 1715.50 1663.50 1765.00 1858.80 1739.30 1818.50

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