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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   2 2 2 13 13 13 13 13 13 14 14
Closed Higher   1   1 7 3 8 8 7 7 6 8
Exceeded High       1 3 3 6 8 7 5 5 7
Scenario Percentage   0%   100% 43% 100% 75% 100% 100% 71% 83% 88%
Avg Max Increase       5.06% 6.07% 10.56% 9.37% 9.15% 7.79% 10.20% 5.71% 4.56%
Max Increase       5.06% 13.43% 13.60% 17.38% 14.22% 14.72% 13.12% 8.95% 7.78%
Avg Days To Max Increase       6 9 25 23 16 22 22 9 10
Avg Max Decline       -5.53% 1.63% -4.44% -1.49% -2.67% -3.08% -2.89% -2.51% -1.30%
Max Decline       -5.53% 0.84% -6.20% -6.15% -8.94% -5.88% -5.71% -5.86% -2.52%
Avg Days to Max Decline       20 2 10 5 22 17 4 6 3
2009 Contract Condition       Yes     Yes Yes Yes Yes Yes Yes
Action       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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   2 2 2 13 13 13 13 13 13 14 14
Closed Lower   1 2 1 6 10 5 5 6 6 8 6
Penetrated Low   1 1 1 5 10 3 4 4 5 6 2
Scenario Percentage   100% 50% 100% 83% 100% 60% 80% 67% 83% 75% 33%
Avg Max Decline   22.33% 15.82% 17.63% 8.39% 8.12% 7.05% 15.13% 13.27% 8.26% 9.86% 4.99%
Max Decline   22.33% 15.82% 17.63% 13.24% 28.90% 13.30% 24.35% 28.18% 18.69% 20.85% 9.00%
Avg Days To Max Decline   20 25 6 14 12 11 20 19 12 9 4
Avg Max Increase   -3.22% -2.08% 1.39% -2.56% -2.40% 0.94% -2.27% -3.74% -2.46% -2.02% -5.73%
Max Increase   -3.22% -2.08% 1.39% -8.23% -14.37% -1.20% -3.81% -10.92% -6.24% -4.84% -9.04%
Avg Days to Max Increase   4 10 3 8 4 3 6 6 7 3 2
2009 Contract Condition   Yes Yes   Yes Yes            
Action   Yes No   Yes Yes            
High 1888.50 1607.00 1388.80 1245.80 1273.30 1276.00 1274.30 1392.50 1434.50 1512.00 1633.00 1670.00
Low 1538.50 1168.50 1045.00 1100.30 1147.30 1111.50 1044.30 1250.00 1341.80 1411.00 1392.00 1560.00
Close/Last 1632.00 1345.50 1193.30 1214.50 1179.00 1116.30 1237.00 1392.50 1433.80 1476.30 1602.00 1625.00

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