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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 30, 2011
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   4 4 4 15 15 15 15 15 15 16 16
Closed Higher   2 1 3 8 5 9 10 7 7 8 8
Exceeded High   1 1 3 4 5 7 8 7 5 6 7
Scenario Percentage   50% 100% 100% 50% 100% 78% 80% 100% 71% 75% 88%
Avg Max Increase   5.53% 7.09% 4.97% 5.81% 9.49% 8.76% 9.15% 7.79% 10.20% 5.11% 3.99%
Max Increase   5.53% 7.09% 8.12% 13.43% 13.60% 17.38% 14.22% 14.72% 13.12% 8.95% 6.73%
Avg Days To Max Increase   22 8 10 11 26 24 16 22 22 10 9
Avg Max Decline   -1.43% 0.09% -1.07% 1.65% -3.62% -1.30% -2.67% -3.08% -2.89% -3.16% -1.30%
Max Decline   -1.43% 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   16 8 10 1 9 4 22 17 4 9 3
2011 Contract Condition   Yes   Yes Yes Yes   Yes     Yes  
Action   Yes   Yes Yes Yes   No     Not Yet  
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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   4 4 4 15 15 15 15 15 15 16 16
Closed Lower   2 3 1 7 10 6 5 8 8 8 8
Penetrated Low   1 1 1 6 10 3 4 6 7 6 2
Scenario Percentage   50% 33% 100% 86% 100% 50% 80% 75% 88% 75% 25%
Avg Max Decline   22.33% 15.82% 17.63% 7.06% 8.12% 7.05% 15.13% 11.59% 8.38% 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 16 10 9 4
Avg Max Increase   -3.22% -2.08% 1.39% -2.58% -2.40% 0.94% -2.27% -3.02% -2.52% -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 8 9 3 2
2011 Contract Condition     Yes       Yes   Yes Yes   Yes
Action     No       No   Yes Yes   Not Yet
High 2011.00 2121.00 2179.00 2231.50 2325.30 2389.80 2367.00 2407.00 2405.50 2327.00 2435.00 2394.50
Low 1810.00 1967.80 2084.30 2151.00 2239.80 2297.50 2203.00 2255.00 2296.00 2174.80 2313.00 1972.30
Close/Last 1987.80 2114.50 2110.00 2210.30 2274.80 2345.80 2333.50 2397.00 2368.00 2321.00 2359.30 2240.80

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