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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for NASDAQ 100 Index as of Dec 31, 1999
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   14 14 14 14 14 14 14 14 14 14 15
Closed Higher   13 9 10 8 11 6 8 9 10 9 9
Exceeded High   10 8 9 8 10 6 7 8 10 9 9
Scenario Percentage   77% 89% 90% 100% 91% 100% 88% 89% 100% 100% 100%
Avg Max Increase   10.25% 8.96% 9.23% 9.48% 5.70% 8.02% 6.78% 7.62% 10.56% 13.82% 7.88%
Max Increase   15.29% 14.62% 15.75% 16.40% 22.95% 12.17% 10.00% 19.67% 30.90% 42.20% 26.42%
Avg Days To Max Increase   22 19 23 18 10 17 19 16 18 16 13
Avg Max Decline   -2.03% -2.13% -3.87% -3.62% -2.00% -0.98% -2.99% -3.42% -5.47% -2.31% -1.11%
Max Decline   -12.33% -7.29% -9.12% -8.23% -4.49% -1.44% -7.48% -6.44% -20.96% -5.04% -3.48%
Avg Days to Max Decline   3 3 11 13 6 6 9 16 10 6 2
2009 Contract Condition                        
Action                        
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   14 14 14 14 14 14 14 14 14 14 15
Closed Lower   1 5 4 6 3 8 6 5 4 5 6
Penetrated Low     4 3 3 1 4 4 4 3 2 3
Scenario Percentage   0% 80% 75% 50% 33% 50% 67% 80% 75% 40% 50%
Avg Max Decline     8.16% 6.71% 5.95% 2.87% 9.77% 11.58% 9.69% 17.02% 6.65% 6.91%
Max Decline     14.56% 9.83% 6.42% 2.87% 15.43% 24.19% 16.02% 38.56% 7.01% 8.89%
Avg Days To Max Decline     17 17 25 12 16 13 12 15 20 10
Avg Max Increase     -2.73% -2.16% -4.51% -2.71% -1.75% -2.07% -8.13% -3.72% -1.39% -1.16%
Max Increase     -4.42% -2.98% -6.74% -2.71% -4.07% -5.54% -23.92% -6.78% -2.36% -1.77%
Avg Days to Max Increase     11 7 33 9 9 8 18 3 18 3
2009 Contract Condition                        
Action                        
High 1185.75                      
Low 1091.00                      
Close/Last 1130.00                      

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