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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, 2013
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   4 4 4 15 16 16 16 16 16 16 16
Closed Higher   4 2 1 8 8 10 11 11 7 9 6
Exceeded High   3 2 1 6 7 10 9 11 6 4 4
Scenario Percentage   75% 100% 100% 75% 88% 100% 82% 100% 86% 44% 67%
Avg Max Increase   4.98% 6.21% 11.21% 6.27% 9.22% 11.57% 17.06% 11.09% 9.12% 7.41% 6.19%
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   8 17 28 15 19 22 18 15 13 14 12
Avg Max Decline   -0.99% -2.14% -4.73% -2.85% -1.60% -3.56% -0.70% -1.68% -2.29% 0.12% -1.81%
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   14 20 8 10 14 9 6 11 4 1 5
2012 Contract Condition   Yes     Yes     Yes     Yes Yes
Action   Yes     No     No     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   4 4 4 15 16 16 16 16 16 16 16
Closed Lower     2 3 7 8 6 5 5 9 7 10
Penetrated Low     2 3 6 5 4 3 2 7 5 7
Scenario Percentage     100% 100% 86% 63% 67% 60% 40% 78% 71% 70%
Avg Max Decline     7.29% 5.29% 11.66% 12.50% 18.87% 21.88% 18.73% 9.94% 8.47% 5.53%
Max Decline     7.60% 12.27% 33.68% 23.61% 35.45% 34.04% 19.72% 20.74% 14.32% 12.18%
Avg Days To Max Decline     9 8 15 15 15 21 13 19 12 9
Avg Max Increase     -0.67% -1.86% -3.04% -5.95% -0.55% -3.45% -10.64% -7.85% -3.24% -2.03%
Max Increase     -3.25% -4.55% -9.10% -24.14% -6.08% -5.52% -18.53% -17.58% -9.13% -6.43%
Avg Days to Max Increase     10 10 6 18 1 15 11 11 4 3
2012 Contract Condition     Yes Yes   Yes Yes   Yes Yes    
Action     Yes Yes   No Yes   No No    
High 2362.00 2399.00 2399.50 2317.00 2418.30 2341.80 2325.00 2403.00 2392.00 2335.50 2479.00 2645.00
Low 2198.00 2279.80 2289.80 2182.50 2325.50 2029.30 2123.00 2040.00 2143.30 2203.00 2300.00 2454.00
Close/Last 2328.50 2391.00 2362.00 2313.00 2350.80 2233.00 2130.80 2351.50 2290.50 2274.50 2464.30 2623.00

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