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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for NASDAQ 100 Index as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   22 22 22 22 22 22 22 22 22 22 23
Closed Higher   17 11 15 11 15 11 10 13 14 15 15
Exceeded High   11 10 12 11 14 9 9 12 14 14 14
Scenario Percentage   65% 91% 80% 100% 93% 82% 90% 92% 100% 93% 93%
Avg Max Increase   9.61% 9.90% 9.39% 9.67% 5.90% 8.35% 6.57% 7.78% 10.15% 13.39% 6.65%
Max Increase   15.29% 15.72% 17.94% 16.40% 22.95% 12.17% 10.16% 19.67% 30.90% 42.20% 26.42%
Avg Days To Max Increase   22 20 22 18 14 19 17 18 20 15 12
Avg Max Decline   -1.94% -2.60% -2.97% -3.21% -2.10% -1.27% -2.96% -2.86% -4.42% -2.13% -1.08%
Max Decline   -12.33% -7.29% -9.12% -8.23% -4.49% -4.08% -7.48% -6.44% -20.96% -5.04% -3.62%
Avg Days to Max Decline   4 5 9 11 10 5 8 15 9 7 3
2007 Contract Condition   Yes   Yes Yes Yes Yes   Yes Yes Yes  
Action   Yes   Yes Yes Yes Yes   Yes Yes No  
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   22 22 22 22 22 22 22 22 22 22 23
Closed Lower   5 11 7 11 7 11 12 9 8 7 8
Penetrated Low   3 10 5 7 4 7 9 7 5 3 4
Scenario Percentage   60% 91% 71% 64% 57% 64% 75% 78% 63% 43% 50%
Avg Max Decline   7.59% 9.13% 8.07% 11.08% 12.88% 9.49% 12.98% 12.07% 17.52% 15.68% 8.49%
Max Decline   14.21% 29.33% 14.29% 23.28% 28.08% 18.55% 35.33% 25.91% 38.56% 33.74% 13.24%
Avg Days To Max Decline   21 17 16 22 19 13 15 13 16 20 13
Avg Max Increase   -1.69% -4.00% -1.84% -3.68% -3.79% -1.49% -2.98% -5.85% -3.68% -1.81% -5.70%
Max Increase   -2.73% -15.77% -2.98% -6.74% -9.11% -4.07% -9.38% -23.92% -6.78% -2.65% -19.32%
Avg Days to Max Increase   7 7 6 18 5 8 7 14 3 14 5
2007 Contract Condition     Yes         Yes       Yes
Action     Yes         Yes       Not Yet
High 1821.00 1847.50 1851.25 1807.25 1896.75 1931.00 1948.50 2060.25 1995.00 2101.75 2239.00 2226.75
Low 1746.00 1731.50 1746.25 1710.75 1761.50 1857.25 1876.50 1931.75 1805.50 1943.25 2088.75 1980.00
Close/Last 1756.75 1792.25 1761.50 1772.25 1867.75 1928.00 1934.00 1932.00 1988.50 2091.00 2238.75 2089.00

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