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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, 2008
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 31 32 32 32 32 32 32 32 32 32 32
Closed Higher 20 18 21 17 20 18 13 20 11 19 23
Exceeded High 17 15 16 16 18 13 11 16 10 17 18
Scenario Percentage 85% 83% 76% 94% 90% 72% 85% 80% 91% 89% 78%
Avg Max Increase 393.78% 5.01% 5.87% 5.14% 6.35% 12.37% 4.12% 13.28% 10.16% 14.03% 7.20%
Max Increase 5621.63% 10.82% 13.01% 12.10% 37.88% 63.49% 7.11% 146.50% 33.86% 131.91% 71.53%
Avg Days To Max Increase 18 18 18 18 20 18 15 14 20 19 16
Avg Max Decline -10.15% -1.21% -1.73% -8.16% -3.74% -2.86% -1.56% -4.25% -1.71% -2.34% -0.98%
Max Decline -90.81% -4.03% -5.15% -99.66% -40.09% -13.45% -4.32% -47.49% -7.74% -16.41% -5.32%
Avg Days to Max Decline 7 8 10 11 12 9 9 9 8 9 4
2007 Contract Condition Yes Yes Yes   Yes     Yes Yes Yes  
Action Yes Yes No   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 31 32 32 32 32 32 32 32 32 32 32
Closed Lower 11 14 11 14 12 14 19 12 21 13 9
Penetrated Low 9 10 8 7 7 9 14 10 14 5 7
Scenario Percentage 82% 71% 73% 50% 58% 64% 74% 83% 67% 38% 78%
Avg Max Decline 7.80% 14.73% 15.03% 17.54% 6.21% 16.67% 20.05% 6.58% 18.19% 21.38% 24.60%
Max Decline 38.13% 99.39% 99.63% 96.90% 27.26% 86.90% 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% -9.40% -14.97% -3.50% -15.01% -3.04% -18.73%
Max Increase -30.60% -5.91% -10.31% -90.59% -3.67% -73.48% -119.37% -9.65% -168.31% -9.63% -100.36%
Avg Days to Max Increase 8 9 11 7 6 12 8 13 9 2 22
2007 Contract Condition       Yes   Yes Yes       Yes
Action       No   Yes Yes       Yes
High 14.63 648.31 653.41 651.55 49.68 52.40 64.90 44.73 62.23 79.15 66.76
Low 0.22 4.73 624.81 0.15 23.77 28.20 19.90 4.90 16.86 40.29 1.78
Close/Last 11.42 643.74 649.89 25.29 47.07 37.41 20.39 32.11 59.13 69.04 36.67

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