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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, 2009
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   1 1 1 12 12 12 13 13 13 13 13
Closed Higher         7 6 7 5 7 8 9 10
Exceeded High         7 6 5 4 6 8 9 8
Scenario Percentage         100% 100% 71% 80% 86% 100% 100% 80%
Avg Max Increase         8.54% 6.27% 8.30% 5.17% 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         18 20 21 10 22 22 9 8
Avg Max Decline         -2.08% -2.38% -0.37% -2.16% -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 12 2 3 16 8 2 2
2008 Contract Condition       Yes Yes Yes   Yes Yes      
Action       Yes Yes Yes   Yes No      
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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   1 1 1 12 12 12 13 13 13 13 13
Closed Lower   1 1 1 5 6 5 8 6 5 4 3
Penetrated Low   1 1   4 4 4 6 5 3 2  
Scenario Percentage   100% 100% 0% 80% 67% 80% 75% 83% 60% 50% 0%
Avg Max Decline   10.01% 6.82%   13.82% 12.21% 7.52% 12.22% 13.58% 24.67% 25.10%  
Max Decline   10.01% 6.82%   22.01% 26.24% 18.32% 35.81% 26.13% 36.68% 26.18%  
Avg Days To Max Decline   10 10   19 20 10 15 15 19 25  
Avg Max Increase   -0.83% 2.21%   -2.00% -3.02% -0.76% -3.38% -7.91% -2.44% -3.44%  
Max Increase   -0.83% 2.21%   -3.71% -8.52% -1.43% -9.09% -24.96% -6.40% -3.85%  
Avg Days to Max Increase   1 5   7 5 4 6 19 1 5  
2008 Contract Condition   Yes Yes       Yes     Yes Yes Yes
Action   Yes Yes       Yes     Yes Yes Not Yet
High 2232.50 2147.50 1909.00 1841.30 1956.50 2054.80 2075.00 1881.30 1975.50 1918.00 1600.50 1388.50
Low 2121.50 1839.50 1776.80 1703.80 1810.80 1975.30 1854.80 1791.00 1820.50 1490.00 1138.00 1016.00
Close/Last 2177.30 1893.30 1776.80 1804.00 1939.80 2053.80 1854.80 1862.50 1882.50 1604.50 1337.00 1186.00

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