MRCI Online
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| ScenarioSM Study for December NASDAQ 100(CME) as of Jan 01, 2007 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
| Tested Month | Feb | Feb | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
| Tested Years | 10 | 10 | 10 | 11 | 11 | 11 | 11 | 11 | ||||
| Closed Higher | 5 | 4 | 6 | 4 | 5 | 7 | 8 | 10 | ||||
| Exceeded High | 5 | 4 | 4 | 3 | 5 | 7 | 8 | 8 | ||||
| Scenario Percentage | 100% | 100% | 67% | 75% | 100% | 100% | 100% | 80% | ||||
| Avg Max Increase | 9.88% | 7.73% | 8.97% | 4.87% | 9.40% | 13.76% | 14.83% | 5.60% | ||||
| Max Increase | 12.53% | 14.62% | 11.52% | 9.68% | 18.14% | 29.75% | 26.95% | 9.44% | ||||
| Avg Days To Max Increase | 22 | 24 | 21 | 9 | 20 | 25 | 9 | 7 | ||||
| Avg Max Decline | -3.30% | -2.48% | -0.67% | -2.13% | -2.17% | -5.19% | -1.03% | -1.10% | ||||
| Max Decline | -7.11% | -3.60% | -2.77% | -5.35% | -4.34% | -21.51% | -2.40% | -3.34% | ||||
| Avg Days to Max Decline | 16 | 15 | 2 | 3 | 18 | 9 | 3 | 2 | ||||
| 2006 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
| Action | Yes | Yes | Yes | Not Yet | ||||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
