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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for S & P 100(OEX) 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 30 31 31 31 31 31 31 31 31 31 31
Closed Higher 19 17 20 17 19 18 13 19 10 18 23
Exceeded High 16 14 16 16 17 13 11 15 9 17 18
Scenario Percentage 84% 82% 80% 94% 89% 72% 85% 79% 90% 94% 78%
Avg Max Increase 67.04% 5.26% 5.87% 5.14% 4.49% 12.37% 4.12% 4.40% 7.53% 14.03% 7.20%
Max Increase 992.91% 10.82% 13.01% 12.10% 13.06% 63.49% 7.11% 15.82% 19.91% 131.91% 71.53%
Avg Days To Max Increase 17 18 18 18 21 18 15 14 21 19 16
Avg Max Decline -7.12% -1.09% -1.73% -8.16% -1.61% -2.86% -1.56% -1.36% -1.91% -2.34% -0.98%
Max Decline -90.81% -4.03% -5.15% -99.66% -5.41% -13.45% -4.32% -3.13% -7.74% -16.41% -5.32%
Avg Days to Max Decline 7 7 10 11 11 9 9 8 8 9 4
2006 Contract Condition Yes Yes Yes Yes     Yes Yes Yes Yes Yes
Action Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 30 31 31 31 31 31 31 31 31 31 31
Closed Lower 11 14 11 13 12 13 18 12 21 13 8
Penetrated Low 9 10 8 7 7 8 13 10 14 5 7
Scenario Percentage 82% 71% 73% 54% 58% 62% 72% 83% 67% 38% 88%
Avg Max Decline 7.80% 14.73% 15.03% 17.54% 6.21% 7.90% 15.75% 6.58% 18.19% 21.38% 24.60%
Max Decline 38.13% 99.39% 99.63% 96.90% 27.26% 21.46% 89.01% 16.87% 91.59% 98.63% 96.88%
Avg Days To Max Decline 20 20 17 18 15 17 18 19 16 11 13
Avg Max Increase -4.64% -2.40% -3.30% -14.33% -1.78% -1.39% -6.94% -3.50% -15.01% -3.04% -18.73%
Max Increase -30.60% -5.91% -10.31% -90.59% -3.67% -3.56% -41.04% -9.65% -168.31% -9.63% -100.36%
Avg Days to Max Increase 8 9 11 7 6 12 8 13 9 2 22
2006 Contract Condition         Yes Yes          
Action         Yes No          
High 588.71 587.83 596.28 598.41 604.06 589.44 591.21 604.10 622.12 645.59 655.01
Low 569.44 568.37 578.20 580.63 572.17 559.02 562.88 582.57 597.00 617.72 634.30
Close/Last 578.77 580.82 587.75 595.89 581.20 579.56 588.74 602.03 620.03 640.57 649.64

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