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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March NASDAQ 100(CME) 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 Feb Feb Feb Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years         11 12 12 12 12 12 12 12
Closed Higher         4 6 8 9 10 4 7 3
Exceeded High         3 6 8 8 10 3 2 2
Scenario Percentage         75% 100% 100% 89% 100% 75% 29% 67%
Avg Max Increase         4.89% 9.18% 12.56% 18.49% 11.44% 12.60% 6.99% 9.76%
Max Increase         9.62% 17.17% 29.81% 41.20% 35.77% 16.77% 12.73% 12.19%
Avg Days To Max Increase         9 19 25 17 15 15 14 14
Avg Max Decline         -2.45% -1.49% -3.86% -0.59% -1.81% -4.55% 0.42% -2.66%
Max Decline         -5.34% -2.82% -20.93% -3.91% -4.51% -12.63% -0.72% -6.48%
Avg Days to Max Decline         3 16 10 4 11 4 1 7
2008 Contract Condition           Yes Yes Yes        
Action           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 Feb Feb Feb Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years         11 12 12 12 12 12 12 12
Closed Lower         7 6 4 3 2 8 5 9
Penetrated Low         6 5 2 2 2 7 4 7
Scenario Percentage         86% 83% 50% 67% 100% 88% 80% 78%
Avg Max Decline         11.66% 12.50% 17.89% 21.68% 18.73% 9.94% 7.85% 5.37%
Max Decline         33.68% 23.61% 32.63% 34.04% 19.72% 20.74% 14.32% 12.18%
Avg Days To Max Decline         15 15 19 22 13 19 17 13
Avg Max Increase         -3.04% -5.95% -1.78% -3.56% -10.64% -7.85% -1.69% -2.31%
Max Increase         -9.10% -24.14% -6.08% -5.52% -18.53% -17.58% -2.69% -6.43%
Avg Days to Max Increase         6 18 1 20 11 11 5 4
2008 Contract Condition         Yes       Yes Yes Yes Yes
Action         Yes       Yes Yes Yes Yes
High       2010.50 2112.80 2048.00 2143.80 2276.00 2256.30 2173.00 2116.50 1876.80
Low       1971.00 1991.50 1900.30 2014.50 2143.30 2009.80 2022.00 1698.00 1713.00
Close/Last       2001.50 1991.80 2041.00 2136.00 2276.00 2115.00 2104.80 1847.80 1748.30

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