MRCI's ScenarioSM Study

ScenarioSM Study for June NASDAQ 100(CME) as of May 29, 2003
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jun	Jun	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	6	6	6	6	6	6	6	6
Closed Higher				4	5	2	4	2	4	4	1
Exceeded High				4	5	2	2	2	2	2	1
Scenario Percentage				100%	100%	100%	50%	100%	50%	50%	100%
Avg Max Increase				27.91%	17.38%	15.53%	7.66%	11.67%	7.00%	12.07%	3.14%
Max Increase				41.49%	34.98%	16.63%	13.88%	15.74%	8.38%	12.92%	3.14%
Avg Days To Max Increase				19	17	13	28	23	24	19	17
Avg Max Decline				0.77%	-0.54%	-5.30%	-4.62%	-4.19%	-5.77%	-2.61%	-4.60%
Max Decline				-0.66%	-3.11%	-11.66%	-11.60%	-5.82%	-7.29%	-5.12%	-4.60%
Avg Days to Max Decline				1	5	5	17	10	13	8	4
2003 Contract Condition				Yes	Yes			Yes	Yes	Yes	Yes
Action				Yes	Yes			Yes	Yes	Yes

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Some data provided by Prophetfinance.com

Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Jun	Jun	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	6	6	6	6	6	6	6	6
Closed Lower				2	1	4	2	4	2	2	5
Penetrated Low				2	1	3	1	4	2	2	3
Scenario Percentage				100%	100%	75%	50%	100%	100%	100%	60%
Avg Max Decline				20.60%	15.81%	13.99%	14.13%	12.70%	8.35%	20.78%	7.39%
Max Decline				32.41%	15.81%	21.04%	14.13%	29.81%	14.47%	23.82%	12.94%
Avg Days To Max Decline				22	2	20	22	9	3	19	10
Avg Max Increase				-3.56%	-18.01%	-8.75%	1.19%	-6.65%	-1.53%	-4.20%	-3.39%
Max Increase				-5.56%	-18.01%	-16.48%	1.19%	-15.83%	-1.57%	-5.78%	-8.99%
Avg Days to Max Increase				20	11	11	1	6	2	8	4
2003 Contract Condition						Yes	Yes
Action						Yes	Yes
High			892.00	1002.00	1133.00	1134.50	1096.00	1021.00	1104.00	1129.00	1200.00
Low			845.00	819.00	987.00	990.00	973.00	950.00	950.00	1018.00	1094.00
Close/Last			845.00	1000.50	1124.00	990.00	987.00	1013.00	1021.00	1108.00	1179.00