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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, 2009
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   43 44 44 44 44 44 44 44 44 44 44
Closed Higher   30 25 26 28 21 26 20 22 19 22 24
Exceeded High   26 20 25 23 17 23 15 19 17 15 19
Scenario Percentage   87% 80% 96% 82% 81% 88% 75% 86% 89% 68% 79%
Avg Max Increase   6.48% 7.01% 5.82% 4.72% 5.02% 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 18 16 17 18 14 19 19 18
Avg Max Decline   -2.24% -0.62% -0.98% -1.32% -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
2008 Contract Condition     Yes   Yes Yes            
Action     No   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   43 44 44 44 44 44 44 44 44 44 44
Closed Lower   13 19 18 14 23 18 24 22 25 22 20
Penetrated Low   7 14 13 6 15 15 18 17 20 11 8
Scenario Percentage   54% 74% 72% 43% 65% 83% 75% 77% 80% 50% 40%
Avg Max Decline   12.21% 8.11% 5.59% 10.84% 6.18% 9.01% 10.15% 10.77% 9.89% 9.03% 4.37%
Max Decline   22.48% 22.34% 14.34% 16.92% 15.74% 26.28% 33.40% 46.49% 37.88% 20.46% 14.71%
Avg Days To Max Decline   17 13 14 23 17 18 18 16 17 19 12
Avg Max Increase   -2.54% -0.57% -1.07% -4.03% -2.57% -2.04% -1.00% -1.37% -2.04% -2.03% -0.49%
Max Increase   -5.77% -2.21% -4.41% -9.27% -8.14% -8.29% -4.60% -8.41% -9.98% -7.30% -2.58%
Avg Days to Max Increase   11 8 4 9 13 7 7 5 10 7 2
2008 Contract Condition   Yes   Yes     Yes Yes Yes Yes Yes Yes
Action   Yes   No     Yes Yes Yes Yes Not Yet Not Yet
High 16108 15157 14105 13414 14003 14393 14601 13603 13469 12941 11457 9521
Low 14998 12573 12923 11691 12522 13541 13453 12671 12632 11161 6995 7406
Close/Last 15308 13592 13603 12526 13850 14339 13481 13377 13073 11260 8577 8512

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