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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 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   25 25 25 25 25 25 25 25 25 25 26
Closed Higher   17 12 17 14 17 12 13 15 16 16 16
Exceeded High   11 11 14 13 16 10 12 13 16 15 15
Scenario Percentage   65% 92% 82% 93% 94% 83% 92% 87% 100% 94% 94%
Avg Max Increase   9.61% 10.20% 9.57% 9.39% 6.10% 8.81% 7.01% 7.92% 9.86% 12.85% 6.64%
Max Increase   15.29% 15.72% 17.94% 16.40% 22.95% 12.91% 10.16% 19.67% 30.90% 42.20% 26.42%
Avg Days To Max Increase   22 21 21 16 14 20 18 18 19 16 13
Avg Max Decline   -1.94% -2.32% -2.75% -3.00% -2.18% -1.70% -3.16% -2.83% -4.22% -2.11% -1.04%
Max Decline   -12.33% -7.29% -9.12% -8.23% -4.49% -5.58% -7.48% -6.44% -20.96% -5.04% -3.62%
Avg Days to Max Decline   4 4 7 10 11 5 10 14 10 7 3
2011 Contract Condition   Yes Yes   Yes     Yes     Yes  
Action   Yes Yes   Yes     No     No  
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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   25 25 25 25 25 25 25 25 25 25 26
Closed Lower   8 13 8 11 8 13 12 10 9 9 10
Penetrated Low   6 12 5 7 5 9 9 7 6 5 4
Scenario Percentage   75% 92% 63% 64% 63% 69% 75% 70% 67% 56% 40%
Avg Max Decline   7.61% 8.76% 8.07% 11.08% 11.95% 8.09% 12.98% 12.07% 20.62% 14.32% 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   15 16 16 22 15 12 15 13 17 16 13
Avg Max Increase   -3.01% -3.27% -1.84% -3.68% -3.98% -1.44% -2.98% -5.85% -2.96% -2.07% -5.70%
Max Increase   -9.02% -15.77% -2.98% -6.74% -9.11% -4.07% -9.38% -23.92% -6.78% -3.58% -19.32%
Avg Days to Max Increase   5 7 6 18 8 6 7 14 2 9 5
2011 Contract Condition       Yes   Yes Yes   Yes Yes   Yes
Action       No   Yes Yes   No Yes   Not Yet
High 2238.75 2336.00 2403.50 2375.50 2415.75 2417.75 2373.75 2438.25 2396.50 2337.50 2412.50 2402.50
Low 2150.50 2237.50 2284.50 2188.75 2254.75 2298.50 2180.75 2318.00 2034.75 2112.75 2042.75 2150.50
Close/Last 2217.75 2281.75 2350.75 2338.75 2404.00 2372.50 2325.00 2362.75 2241.00 2139.00 2360.00 2295.00

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