MRCI Online
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| ScenarioSM Study for September NASDAQ 100(CME) as of Jan 01, 2008 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
| Tested Years | 11 | 11 | 11 | 11 | 11 | 11 | 12 | 12 | ||||
| Closed Higher | 7 | 3 | 7 | 6 | 5 | 6 | 4 | 6 | ||||
| Exceeded High | 3 | 3 | 5 | 6 | 5 | 4 | 3 | 6 | ||||
| Scenario Percentage | 43% | 100% | 71% | 100% | 100% | 67% | 75% | 100% | ||||
| Avg Max Increase | 6.07% | 10.56% | 8.05% | 9.58% | 7.87% | 9.47% | 5.08% | 5.11% | ||||
| Max Increase | 13.43% | 13.60% | 17.38% | 14.22% | 14.72% | 11.75% | 9.89% | 10.95% | ||||
| Avg Days To Max Increase | 9 | 25 | 22 | 19 | 24 | 20 | 9 | 13 | ||||
| Avg Max Decline | 1.63% | -4.44% | -1.99% | -3.20% | -3.33% | -2.18% | -2.42% | -1.50% | ||||
| Max Decline | 0.84% | -6.20% | -6.15% | -8.94% | -5.88% | -4.32% | -5.86% | -2.40% | ||||
| Avg Days to Max Decline | 2 | 10 | 6 | 24 | 16 | 3 | 3 | 6 | ||||
| 2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
| Action | No | Yes | Yes | Yes | Yes | |||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
