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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Nikkei 225 Index as of Apr 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 23 19 22 24 31 30 25 28 28 22
Exceeded High   16 19 17 15 20 29 26 20 27 24 16
Scenario Percentage   76% 83% 89% 68% 83% 94% 87% 80% 96% 86% 73%
Avg Max Increase   7.46% 5.27% 4.73% 8.01% 6.62% 5.71% 6.48% 7.01% 6.14% 5.09% 3.46%
Max Increase   16.70% 12.62% 12.91% 20.86% 17.15% 17.85% 14.47% 18.00% 17.42% 15.21% 9.07%
Avg Days To Max Increase   19 14 19 19 22 19 25 15 17 17 17
Avg Max Decline   -1.33% -1.44% -1.57% -0.77% -1.74% -0.95% -2.24% -0.62% -0.91% -1.26% -0.31%
Max Decline   -3.54% -4.74% -8.28% -4.77% -12.91% -7.33% -7.57% -4.84% -5.33% -5.34% -2.23%
Avg Days to Max Decline   8 8 11 8 8 8 13 10 6 11 4
2011 Contract Condition   Yes   Yes   Yes Yes Yes Yes   Yes Yes
Action   No   Yes   Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   24 22 26 23 21 14 15 20 17 15 23
Penetrated Low   18 17 21 12 10 9 9 14 12 7 13
Scenario Percentage   75% 77% 81% 52% 48% 64% 60% 70% 71% 47% 57%
Avg Max Decline   10.15% 10.77% 9.92% 9.08% 6.41% 7.52% 11.21% 8.08% 5.68% 11.46% 4.11%
Max Decline   33.40% 46.49% 37.88% 20.46% 19.82% 17.87% 22.48% 22.34% 14.34% 16.92% 9.98%
Avg Days To Max Decline   18 16 18 20 15 16 15 13 13 21 12
Avg Max Increase   -1.00% -1.37% -2.07% -1.81% -1.58% -0.66% -2.61% -0.54% -0.80% -3.18% -0.95%
Max Increase   -4.60% -8.41% -9.98% -7.30% -5.36% -4.14% -5.77% -2.21% -3.47% -9.27% -3.75%
Avg Days to Max Increase   7 5 11 7 9 7 10 8 4 8 2
2011 Contract Condition     Yes   Yes         Yes    
Action     Yes   Yes         Not Yet    
High 10252 9807 9751 9704 9717 10158 10394 10621 10892 10768 9850 10017
Low 9347 9092 8807 8796 9179 9124 9919 10183 10246 8228 9405 9936
Close/Last 9383 9537 8824 9369 9202 9937 10229 10238 10624 9755 9850 10004

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