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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Nikkei 225 Index as of Dec 30, 2016
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   30 25 27 29 21 28 21 21 20 22 27
Exceeded High   26 19 25 25 18 25 15 17 19 15 22
Scenario Percentage   87% 76% 93% 86% 86% 89% 71% 81% 95% 68% 81%
Avg Max Increase   7.70% 8.09% 7.29% 5.45% 5.12% 4.43% 6.31% 4.80% 5.32% 8.44% 4.20%
Max Increase   16.49% 20.98% 28.59% 15.21% 19.53% 14.68% 16.70% 11.58% 12.91% 20.86% 11.09%
Avg Days To Max Increase   26 18 18 18 18 18 19 14 21 18 17
Avg Max Decline   -2.24% -0.85% -1.22% -1.28% -1.81% -1.80% -1.81% -1.82% -2.60% -1.09% -0.49%
Max Decline   -7.57% -4.84% -5.33% -5.34% -7.34% -9.12% -5.55% -4.74% -10.17% -4.77% -3.51%
Avg Days to Max Decline   13 10 7 10 9 10 8 9 13 8 3
2016 Contract Condition       Yes   Yes   Yes Yes   Yes Yes
Action       Yes   No   Yes Yes   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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 20 18 14 24 17 24 24 25 23 18
Penetrated Low   10 14 12 7 17 13 17 18 19 11 5
Scenario Percentage   67% 70% 67% 50% 71% 76% 71% 75% 76% 48% 28%
Avg Max Decline   10.71% 8.50% 5.99% 12.18% 6.16% 9.90% 10.26% 10.85% 10.74% 9.04% 6.05%
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   14 13 12 21 15 20 18 15 18 20 14
Avg Max Increase   -2.30% -0.72% -1.08% -2.46% -2.20% -2.56% -1.42% -1.48% -2.16% -2.02% -0.11%
Max Increase   -5.77% -3.18% -3.47% -9.27% -8.14% -8.29% -5.84% -8.41% -9.98% -7.30% -2.58%
Avg Days to Max Increase   9 8 4 7 12 12 7 5 10 8 2
2016 Contract Condition   Yes Yes   Yes   Yes     Yes    
Action   Yes No   Yes   No     Yes    
High 20012 18951 17905 17291 17614 17251 17146 16939 16944 17156 17461 18483
Low 18563 16017 14866 15857 15472 15975 14864 15107 15921 16285 16555 16112
Close/Last 19034 17518 16027 16759 16666 17235 15576 16569 16887 16450 17425 18308

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