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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 Dec 30, 2011
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   4 4 4 15 15 15 16 16 16 16 16
Closed Higher   1 2 2 10 7 8 8 8 10 11 11
Exceeded High   1 2 2 8 7 6 6 7 10 10 9
Scenario Percentage   100% 100% 100% 80% 100% 75% 75% 88% 100% 91% 82%
Avg Max Increase   5.06% 7.81% 10.47% 8.43% 7.05% 8.99% 6.59% 9.76% 11.88% 12.36% 5.28%
Max Increase   5.06% 12.94% 15.93% 12.53% 14.62% 12.41% 9.68% 18.14% 29.75% 26.95% 9.44%
Avg Days To Max Increase   18 26 26 17 21 22 15 21 20 8 6
Avg Max Decline   1.72% -2.38% 0.43% -2.27% -2.35% -1.10% -2.83% -2.11% -4.22% -1.21% -0.99%
Max Decline   1.72% -6.09% -0.19% -7.11% -3.60% -4.73% -5.97% -4.34% -21.51% -2.40% -3.34%
Avg Days to Max Decline   1 8 1 18 15 3 9 14 7 4 2
2011 Contract Condition   Yes Yes   Yes     Yes     Yes  
Action   Yes Yes   No     No     Not Yet  
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
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   4 4 4 15 15 15 16 16 16 16 16
Closed Lower   3 2 2 5 8 7 8 8 6 5 5
Penetrated Low   3 2   4 6 6 6 5 4 2  
Scenario Percentage   100% 100% 0% 80% 75% 86% 75% 63% 67% 40% 0%
Avg Max Decline   7.27% 6.63%   13.82% 10.57% 7.24% 12.22% 13.58% 19.67% 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 16 8 15 15 15 25  
Avg Max Increase   -3.91% 1.69%   -2.00% -2.30% -1.25% -3.38% -7.91% -1.97% -3.44%  
Max Increase   -8.21% 1.16%   -3.71% -8.52% -4.86% -9.09% -24.96% -6.40% -3.85%  
Avg Days to Max Increase   3 4   7 7 7 6 19 2 5  
2011 Contract Condition       Yes   Yes Yes   Yes Yes   Yes
Action       No   Yes Yes   No Yes   Not Yet
High 2229.00 2322.80 2387.30 2364.50 2406.00 2402.00 2319.50 2428.00 2380.00 2333.00 2408.00 2400.00
Low 2148.50 2237.30 2295.00 2200.50 2273.00 2292.30 2185.00 2310.00 2030.00 2110.00 2035.00 2136.00
Close/Last 2207.80 2272.30 2343.30 2331.00 2393.50 2364.50 2315.50 2354.00 2235.80 2134.50 2356.00 2295.00

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