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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December NASDAQ 100(CME) as of Jan 01, 2008
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         11 11 11 12 12 12 12 12
Closed Higher         6 5 7 4 6 8 9 10
Exceeded High         6 5 5 3 6 8 9 8
Scenario Percentage         100% 100% 71% 75% 100% 100% 100% 80%
Avg Max Increase         8.80% 7.32% 8.30% 4.87% 9.77% 12.88% 13.56% 5.97%
Max Increase         12.53% 14.62% 11.52% 9.68% 18.14% 29.75% 26.95% 12.30%
Avg Days To Max Increase         21 23 21 9 22 22 9 8
Avg Max Decline         -2.73% -2.49% -0.37% -2.13% -2.13% -4.57% -1.14% -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         18 14 2 3 16 8 2 2
2007 Contract Condition         Yes Yes Yes   Yes Yes Yes  
Action         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 Feb Feb Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years         11 11 11 12 12 12 12 12
Closed Lower         5 6 4 8 6 4 3 2
Penetrated Low         4 4 3 6 5 2 1  
Scenario Percentage         80% 67% 75% 75% 83% 50% 33% 0%
Avg Max Decline         13.82% 12.21% 8.88% 12.22% 13.58% 18.67% 26.18%  
Max Decline         22.01% 26.24% 18.32% 35.81% 26.13% 32.73% 26.18%  
Avg Days To Max Decline         19 20 9 15 15 19 30  
Avg Max Increase         -2.00% -3.02% -0.53% -3.38% -7.91% -3.78% -3.03%  
Max Increase         -3.71% -8.52% -0.94% -9.09% -24.96% -6.40% -3.03%  
Avg Days to Max Increase         7 5 3 6 19 2 6  
2007 Contract Condition               Yes       Yes
Action               Yes       Not Yet
High       1868.00 1951.80 1977.50 1990.00 2090.00 2025.30 2124.00 2253.00 2256.30
Low       1807.00 1832.00 1927.00 1927.50 1968.50 1877.50 1979.00 2109.00 1983.00
Close/Last       1832.80 1924.30 1977.50 1978.80 1968.80 2018.30 2114.00 2252.50 2094.50

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