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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, 2016
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   30 30 30 30 30 30 30 30 30 30 31
Closed Higher   20 17 19 17 20 14 18 17 18 20 20
Exceeded High   14 16 16 15 19 12 15 15 17 18 18
Scenario Percentage   70% 94% 84% 88% 95% 86% 83% 88% 94% 90% 90%
Avg Max Increase   9.11% 8.15% 8.98% 8.56% 5.94% 8.44% 6.93% 7.26% 9.79% 11.42% 5.86%
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 16 20 18 19 20 16 14
Avg Max Decline   -1.57% -2.55% -2.62% -2.66% -2.35% -1.74% -2.78% -3.14% -4.15% -2.09% -1.07%
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 6 8 9 13 6 10 15 10 7 4
2015 Contract Condition     Yes   Yes Yes   Yes     Yes Yes
Action     Yes   No Yes   No     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   30 30 30 30 30 30 30 30 30 30 31
Closed Lower   10 13 11 13 10 16 12 13 12 10 11
Penetrated Low   7 12 6 8 7 11 9 7 8 6 4
Scenario Percentage   70% 92% 55% 62% 70% 69% 75% 54% 67% 60% 36%
Avg Max Decline   6.94% 8.76% 7.57% 10.98% 10.15% 9.01% 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 13 15 13 15 16 13
Avg Max Increase   -2.63% -3.27% -1.91% -3.37% -2.77% -2.23% -2.98% -5.85% -2.31% -2.07% -5.70%
Max Increase   -9.02% -15.77% -2.98% -6.74% -9.11% -6.76% -9.38% -23.92% -6.78% -3.58% -19.32%
Avg Days to Max Increase   5 7 5 16 6 9 7 14 3 8 5
2015 Contract Condition   Yes   Yes     Yes   Yes Yes    
Action   No   No     Yes   No No    
High 4332.50 4292.75 4464.25 4483.75 4562.25 4551.50 4561.50 4694.00 4634.50 4450.50 4681.00 4737.00
Low 4089.00 4078.75 4094.50 4280.75 4283.75 4349.75 4377.00 4344.00 3787.00 4053.00 4124.50 4486.00
Close/Last 4236.25 4148.25 4440.50 4333.50 4414.25 4508.25 4396.75 4588.75 4274.50 4181.00 4648.75 4664.50

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