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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Nikkei 225 Index 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 42 43 43 43 43 43 43 43 43 43 43
Closed Higher 30 24 26 27 20 26 20 22 19 22 24
Exceeded High 26 20 25 22 16 23 15 19 17 15 19
Scenario Percentage 87% 83% 96% 81% 80% 88% 75% 86% 89% 68% 79%
Avg Max Increase 6.48% 7.01% 5.82% 4.69% 5.22% 4.54% 7.69% 5.27% 4.73% 8.01% 4.10%
Max Increase 14.47% 18.00% 14.86% 11.40% 19.53% 14.68% 16.70% 12.62% 12.91% 20.86% 11.09%
Avg Days To Max Increase 25 15 17 19 17 17 18 14 19 19 18
Avg Max Decline -2.24% -0.62% -0.98% -1.27% -1.42% -1.34% -1.29% -1.44% -1.57% -0.77% -0.68%
Max Decline -7.57% -4.84% -5.33% -5.34% -7.34% -6.89% -3.54% -4.74% -8.28% -4.77% -4.22%
Avg Days to Max Decline 13 10 7 11 7 9 7 8 11 8 3
2007 Contract Condition Yes Yes   Yes Yes Yes     Yes    
Action Yes No   Yes Yes No     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 42 43 43 43 43 43 43 43 43 43 43
Closed Lower 12 19 17 14 23 17 23 21 24 21 19
Penetrated Low 6 14 13 6 15 14 17 16 19 11 16
Scenario Percentage 50% 74% 76% 43% 65% 82% 74% 76% 79% 52% 84%
Avg Max Decline 11.92% 8.11% 5.59% 10.84% 6.18% 9.20% 9.77% 8.54% 8.42% 9.03% 17.95%
Max Decline 22.48% 22.34% 14.34% 16.92% 15.74% 26.28% 33.40% 23.85% 22.05% 20.46% 47.39%
Avg Days To Max Decline 17 13 14 23 17 18 17 15 17 19 10
Avg Max Increase -2.34% -0.57% -1.07% -4.03% -2.57% -2.13% -1.02% -1.52% -2.06% -2.03% -2.72%
Max Increase -5.77% -2.21% -4.41% -9.27% -8.14% -8.29% -4.60% -8.41% -9.98% -7.30% -10.74%
Avg Days to Max Increase 8 8 4 9 13 6 6 5 11 7 -35
2007 Contract Condition     Yes       Yes Yes   Yes Yes
Action     No       Yes No   Yes Not Yet
High 17618 18300 17558 17782 17876 18297 18295 17274 16929 17489 16887
Low 16758 17200 16533 16999 17203 17592 17043 15262 15611 16199 14670
Close/Last 17383 17604 17288 17400 17876 18138 17249 16569 16786 16738 15681

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