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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, 2010
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   2 2 2 13 13 13 14 14 14 14 14
Closed Higher       1 8 7 8 6 8 9 9 11
Exceeded High       1 8 7 6 5 7 9 9 9
Scenario Percentage       100% 100% 100% 75% 83% 88% 100% 100% 82%
Avg Max Increase       15.93% 8.43% 7.05% 8.99% 6.06% 9.76% 12.08% 13.56% 5.61%
Max Increase       15.93% 12.53% 14.62% 12.41% 9.68% 18.14% 29.75% 26.95% 12.30%
Avg Days To Max Increase       29 17 21 22 12 21 21 9 8
Avg Max Decline       1.05% -2.27% -2.35% -1.10% -2.20% -2.11% -4.50% -1.14% -0.99%
Max Decline       1.05% -7.11% -3.60% -4.73% -5.35% -4.34% -21.51% -2.40% -3.34%
Avg Days to Max Decline       1 18 15 3 6 14 8 2 2
2009 Contract Condition       Yes Yes Yes Yes Yes Yes Yes   Yes
Action       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   2 2 2 13 13 13 14 14 14 14 14
Closed Lower   2 2 1 5 6 5 8 6 5 5 3
Penetrated Low   2 2   4 4 4 6 5 3 2  
Scenario Percentage   100% 100% 0% 80% 67% 80% 75% 83% 60% 40% 0%
Avg Max Decline   10.70% 6.63%   13.82% 12.21% 7.52% 12.22% 13.58% 24.67% 25.10%  
Max Decline   11.40% 6.82%   22.01% 26.24% 18.32% 35.81% 26.13% 36.68% 26.18%  
Avg Days To Max Decline   9 9   19 20 10 15 15 19 25  
Avg Max Increase   -4.52% 1.69%   -2.00% -3.02% -0.76% -3.38% -7.91% -2.44% -3.44%  
Max Increase   -8.21% 1.16%   -3.71% -8.52% -1.43% -9.09% -24.96% -6.40% -3.85%  
Avg Days to Max Increase   3 4   7 5 4 6 19 1 5  
2009 Contract Condition   Yes Yes               Yes  
Action   Yes Yes               Not Yet  
High 1248.80 1276.30 1279.00 1277.30 1395.50 1437.50 1502.50 1604.80 1658.00 1754.00 1780.00 1815.00
Low 1103.30 1150.30 1114.50 1047.30 1253.00 1344.80 1420.80 1405.30 1562.50 1590.50 1649.80 1650.00
Close/Last 1217.50 1182.00 1119.30 1240.00 1395.50 1436.80 1475.00 1599.80 1622.80 1717.50 1665.50 1767.50

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