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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, 2018
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   32 32 32 32 32 32 32 32 32 32 33
Closed Higher   21 18 21 18 22 14 20 19 19 21 22
Exceeded High   15 17 18 16 21 12 17 17 18 19 20
Scenario Percentage   71% 94% 86% 89% 95% 86% 85% 89% 95% 90% 91%
Avg Max Increase   8.94% 7.97% 8.48% 8.38% 5.78% 8.44% 6.46% 6.85% 9.29% 11.05% 5.59%
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   23 20 21 15 17 20 18 20 20 16 14
Avg Max Decline   -1.45% -2.41% -2.47% -2.51% -2.66% -1.74% -2.68% -3.06% -4.05% -2.03% -1.16%
Max Decline   -12.33% -7.29% -9.12% -8.23% -7.61% -5.58% -7.48% -9.37% -20.96% -5.04% -3.62%
Avg Days to Max Decline   5 7 8 9 15 6 12 16 10 7 4
2017 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   32 32 32 32 32 32 32 32 32 32 33
Closed Lower   11 14 11 14 10 18 12 13 13 11 11
Penetrated Low   8 12 6 9 7 12 9 7 8 7 4
Scenario Percentage   73% 86% 55% 64% 70% 67% 75% 54% 62% 64% 36%
Avg Max Decline   7.21% 8.76% 7.57% 10.17% 10.15% 8.36% 12.98% 12.07% 17.10% 11.51% 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   13 16 16 20 14 12 15 13 15 14 13
Avg Max Increase   -2.36% -3.27% -1.91% -3.50% -2.77% -2.10% -2.98% -5.85% -2.31% -1.80% -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   4 7 5 18 6 9 7 14 3 7 5
2017 Contract Condition             Yes     Yes    
Action             Yes     No    
High 4992.00 5172.25 5358.50 5451.50 5600.00 5813.25 5897.50 5995.75 5995.25 6012.75 6258.25 6426.00
Low 4721.25 4884.50 5128.75 5316.00 5353.50 5568.25 5599.25 5579.50 5750.50 5839.75 5955.75 6194.50
Close/Last 4863.50 5116.75 5330.25 5436.00 5583.50 5788.75 5646.75 5880.25 5988.50 5979.25 6248.50 6365.50

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