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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, 2015
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   29 29 29 29 29 29 29 29 29 29 30
Closed Higher   20 16 19 16 19 14 17 17 18 19 19
Exceeded High   14 15 16 15 18 12 15 15 17 17 17
Scenario Percentage   70% 94% 84% 94% 95% 86% 88% 88% 94% 89% 89%
Avg Max Increase   9.11% 8.51% 8.98% 8.56% 6.05% 8.44% 6.93% 7.26% 9.79% 11.98% 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 20 20 15 15 20 18 19 20 17 14
Avg Max Decline   -1.57% -2.48% -2.62% -2.66% -2.27% -1.74% -2.78% -3.14% -4.15% -2.01% -1.16%
Max Decline   -12.33% -7.29% -9.12% -8.23% -5.26% -5.58% -7.48% -9.37% -20.96% -5.04% -3.62%
Avg Days to Max Decline   5 5 8 9 11 6 10 15 10 7 5
2014 Contract Condition     Yes     Yes Yes Yes Yes   Yes Yes
Action     Yes     Yes Yes Yes Yes   Yes Not Yet
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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   29 29 29 29 29 29 29 29 29 29 30
Closed Lower   9 13 10 13 10 15 12 12 11 10 11
Penetrated Low   7 12 6 8 7 10 9 7 8 6 4
Scenario Percentage   78% 92% 60% 62% 70% 67% 75% 58% 73% 60% 36%
Avg Max Decline   6.94% 8.76% 7.57% 10.98% 10.15% 8.53% 12.98% 12.07% 17.10% 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   14 16 16 20 14 12 15 13 15 16 13
Avg Max Increase   -2.63% -3.27% -1.91% -3.37% -2.77% -1.78% -2.98% -5.85% -2.31% -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 5 16 6 8 7 14 3 8 5
2014 Contract Condition   Yes   Yes Yes         Yes    
Action   Yes   Yes No         Yes    
High 3592.00 3634.50 3722.25 3738.25 3676.25 3741.50 3860.50 3997.50 4082.75 4118.75 4170.75 4347.00
Low 3422.75 3461.50 3418.75 3543.00 3414.00 3506.25 3707.75 3837.00 3845.00 4007.50 3700.00 4126.50
Close/Last 3592.00 3521.75 3696.00 3595.50 3582.00 3736.75 3849.25 3892.50 4082.50 4049.25 4158.00 4337.75

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