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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, 2010
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 44 45 45 45 45 45 45 45 45 45 45
Closed Higher 30 25 27 29 22 27 21 23 19 22 24
Exceeded High 26 20 26 24 18 24 16 19 17 15 19
Scenario Percentage 87% 80% 96% 83% 82% 89% 76% 83% 89% 68% 79%
Avg Max Increase 6.48% 7.01% 6.27% 5.16% 5.23% 4.69% 7.46% 5.27% 4.73% 8.01% 4.10%
Max Increase 14.47% 18.00% 17.42% 15.21% 19.53% 14.68% 16.70% 12.62% 12.91% 20.86% 11.09%
Avg Days To Max Increase 25 15 18 18 17 17 19 14 19 19 18
Avg Max Decline -2.24% -0.62% -0.96% -1.26% -1.62% -1.67% -1.33% -1.44% -1.57% -0.77% -0.68%
Max Decline -7.57% -4.84% -5.33% -5.34% -7.34% -9.12% -3.54% -4.74% -8.28% -4.77% -4.22%
Avg Days to Max Decline 13 10 7 11 9 9 8 8 11 8 3
2009 Contract Condition     Yes Yes Yes Yes Yes Yes      
Action     Yes Yes 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 44 45 45 45 45 45 45 45 45 45 45
Closed Lower 14 20 18 14 23 18 24 22 26 23 21
Penetrated Low 8 15 13 6 15 15 18 17 21 12 16
Scenario Percentage 57% 75% 72% 43% 65% 83% 75% 77% 81% 52% 76%
Avg Max Decline 12.21% 8.05% 5.59% 10.84% 6.18% 9.01% 10.15% 10.77% 9.92% 9.08% 17.95%
Max Decline 22.48% 22.34% 14.34% 16.92% 15.74% 26.28% 33.40% 46.49% 37.88% 20.46% 47.39%
Avg Days To Max Decline 16 13 14 23 17 18 18 16 18 20 10
Avg Max Increase -2.64% -0.50% -1.07% -4.03% -2.57% -2.04% -1.00% -1.37% -2.07% -1.81% -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 11 7 4 9 13 7 7 5 11 7 -35
2009 Contract Condition Yes Yes             Yes Yes Yes
Action Yes Yes             Yes Yes Yes
High 9325 8258 8843 9069 9523 10171 10359 10767 10577 10398 9979
Low 7671 7155 7021 8085 8827 9491 9050 10142 9971 9629 9076
Close/Last 7994 7568 8110 8828 9523 9958 10357 10493 10133 10035 9346

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