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