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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, 2014
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   28 28 28 28 28 28 28 28 28 28 29
Closed Higher   20 15 19 16 18 13 16 16 18 18 18
Exceeded High   14 14 16 15 17 11 14 14 17 16 17
Scenario Percentage   70% 93% 84% 94% 94% 85% 88% 88% 94% 89% 94%
Avg Max Increase   9.11% 9.04% 8.98% 8.56% 5.99% 8.66% 7.01% 7.63% 9.79% 12.44% 6.11%
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 20 15 15 20 18 18 20 16 14
Avg Max Decline   -1.57% -2.54% -2.62% -2.66% -2.36% -1.87% -2.89% -2.70% -4.15% -2.09% -1.16%
Max Decline   -12.33% -7.29% -9.12% -8.23% -5.26% -5.58% -7.48% -6.44% -20.96% -5.04% -3.62%
Avg Days to Max Decline   5 5 8 9 12 6 10 13 10 7 5
2013 Contract Condition   Yes Yes Yes Yes Yes   Yes   Yes Yes Yes
Action   Yes Yes Yes Yes Yes   Yes   Yes Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   28 28 28 28 28 28 28 28 28 28 29
Closed Lower   8 13 9 12 10 15 12 12 10 10 11
Penetrated Low   6 12 5 8 7 10 9 7 7 6 4
Scenario Percentage   75% 92% 56% 67% 70% 67% 75% 58% 70% 60% 36%
Avg Max Decline   7.61% 8.76% 8.07% 10.98% 10.15% 8.53% 12.98% 12.07% 18.31% 12.90% 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 20 14 12 15 13 15 16 13
Avg Max Increase   -3.01% -3.27% -1.84% -3.37% -2.77% -1.78% -2.98% -5.85% -2.64% -2.07% -5.70%
Max Increase   -9.02% -15.77% -2.98% -6.74% -9.11% -4.87% -9.38% -23.92% -6.78% -3.58% -19.32%
Avg Days to Max Increase   5 7 6 16 6 8 7 14 2 8 5
2013 Contract Condition             Yes   Yes      
Action             No   No      
High 2713.25 2769.25 2783.00 2820.50 2887.75 3053.50 3007.25 3110.00 3149.00 3248.50 3408.25 3495.75
Low 2598.50 2703.75 2689.75 2713.25 2730.75 2868.75 2825.00 2913.25 3053.25 3077.00 3117.50 3318.25
Close/Last 2660.75 2731.50 2738.50 2818.50 2887.25 2981.75 2909.50 3090.00 3073.75 3218.00 3377.50 3487.75

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