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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, 2014
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   5 5 5 16 17 17 17 17 17 17 17
Closed Higher   4 2 2 9 9 11 11 12 7 10 7
Exceeded High   3 2 2 7 8 10 9 12 6 5 5
Scenario Percentage   75% 100% 100% 78% 89% 91% 82% 100% 86% 50% 71%
Avg Max Increase   4.98% 6.21% 8.92% 6.66% 8.53% 11.57% 17.06% 10.46% 9.12% 6.44% 5.14%
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 27 15 20 22 18 15 13 13 11
Avg Max Decline   -0.99% -2.14% -3.76% -2.54% -1.41% -3.56% -0.70% -1.81% -2.29% -0.18% -1.64%
Max Decline   -3.63% -2.47% -4.73% -5.34% -2.82% -20.93% -3.91% -4.51% -12.63% -1.36% -6.48%
Avg Days to Max Decline   14 20 10 9 13 9 6 12 4 6 4
2013 Contract Condition       Yes Yes Yes Yes   Yes   Yes Yes
Action       Yes Yes Yes No   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   5 5 5 16 17 17 17 17 17 17 17
Closed Lower   1 3 3 7 8 6 6 5 10 7 10
Penetrated Low   1 3 3 6 5 4 4 2 7 5 7
Scenario Percentage   100% 100% 100% 86% 63% 67% 67% 40% 70% 71% 70%
Avg Max Decline   9.78% 5.78% 5.29% 11.66% 12.50% 18.87% 17.54% 18.73% 9.94% 8.47% 5.53%
Max Decline   9.78% 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   1 6 8 15 15 15 20 13 19 12 9
Avg Max Increase   -0.31% -0.45% -1.86% -3.04% -5.95% -0.55% -3.01% -10.64% -7.85% -3.24% -2.03%
Max Increase   -0.31% -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   2 7 10 6 18 1 11 11 11 4 3
2013 Contract Condition   Yes Yes         Yes   Yes    
Action   Yes Yes         Yes   No    
High 2761.00 2762.50 2709.80 2605.50 2639.30 2769.80 2860.00 2830.00 2679.00 2713.50 2765.00 2786.30
Low 2576.30 2614.50 2450.80 2437.00 2525.50 2605.50 2755.00 2634.00 2515.00 2582.00 2680.30 2688.00
Close/Last 2733.80 2701.30 2506.00 2597.80 2623.50 2758.00 2785.30 2634.00 2669.30 2655.30 2725.00 2738.00

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