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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 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   3 3 3 14 14 14 14 14 14 15 15
Closed Higher   1 1 2 7 4 9 9 7 7 7 8
Exceeded High     1 2 3 4 7 8 7 5 6 7
Scenario Percentage   0% 100% 100% 43% 100% 78% 89% 100% 71% 86% 88%
Avg Max Increase     7.09% 3.40% 6.07% 11.21% 8.76% 9.15% 7.79% 10.20% 5.26% 4.19%
Max Increase     7.09% 5.06% 13.43% 13.60% 17.38% 14.22% 14.72% 13.12% 8.95% 6.73%
Avg Days To Max Increase     8 7 9 25 24 16 22 22 10 9
Avg Max Decline     0.09% -2.28% 1.63% -3.00% -1.30% -2.67% -3.08% -2.89% -3.16% -1.30%
Max Decline     0.09% -5.53% 0.84% -6.20% -6.15% -8.94% -5.88% -5.71% -6.41% -2.52%
Avg Days to Max Decline     8 13 2 8 4 22 17 4 9 3
2010 Contract Condition     Yes Yes   Yes Yes Yes     Yes  
Action     Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   3 3 3 14 14 14 14 14 14 15 15
Closed Lower   2 2 1 7 10 5 5 7 7 8 7
Penetrated Low   1 1 1 6 10 3 4 5 6 6 2
Scenario Percentage   50% 50% 100% 86% 100% 60% 80% 71% 86% 75% 29%
Avg Max Decline   22.33% 15.82% 17.63% 7.06% 8.12% 7.05% 15.13% 12.28% 7.28% 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 13 12 11 20 15 10 9 4
Avg Max Increase   -3.22% -2.08% 1.39% -2.58% -2.40% 0.94% -2.27% -3.97% -2.12% -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 7 4 3 6 9 6 3 2
2010 Contract Condition   Yes     Yes       Yes Yes   Yes
Action   No     Yes       Yes Yes   Not Yet
High 1730.50 1759.50 1804.30 1873.80 1888.00 1817.50 1963.00 2053.50 2030.00 1940.50 1900.00 1918.00
Low 1587.50 1657.50 1664.80 1764.50 1732.50 1728.30 1839.00 1949.50 1763.00 1733.50 1697.00 1743.00
Close/Last 1713.50 1661.50 1763.00 1855.80 1735.50 1814.80 1953.30 1997.00 1850.50 1738.00 1862.30 1766.50

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