MRCI's ScenarioSM Study

ScenarioSM Study for June NASDAQ 100(CME) as of Jul 29, 2004
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	8	8	8	8	8	8	8	8
Closed Higher				6	7	3	5	3	5	5	3
Exceeded High				6	7	3	2	3	3	3	2
Scenario Percentage				100%	100%	100%	40%	100%	60%	60%	67%
Avg Max Increase				21.45%	13.79%	12.25%	7.66%	11.60%	10.61%	12.79%	3.82%
Max Increase				41.49%	34.98%	16.63%	13.88%	15.74%	17.83%	14.35%	5.67%
Avg Days To Max Increase				18	16	17	28	25	26	18	7
Avg Max Decline				-0.35%	-0.65%	-3.64%	-4.62%	-4.87%	-3.94%	-2.16%	-1.64%
Max Decline				-3.83%	-3.11%	-11.66%	-11.60%	-6.22%	-7.29%	-5.12%	-1.70%
Avg Days to Max Decline				5	5	4	17	11	9	6	2
2004 Contract Condition				Yes	Yes	Yes	Yes				Yes
Action				Yes	Yes	Yes	No				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	8	8	8	8	8	8	8	8
Closed Lower				2	1	5	3	5	3	3	5
Penetrated Low				2	1	4	2	5	2	3	3
Scenario Percentage				100%	100%	80%	67%	100%	67%	100%	60%
Avg Max Decline				20.60%	15.81%	11.50%	8.94%	11.60%	8.35%	14.58%	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	18	17	12	3	18	10
Avg Max Increase				-3.56%	-18.01%	-9.24%	-1.28%	-5.59%	-1.53%	-3.66%	-3.39%
Max Increase				-5.56%	-18.01%	-16.48%	-3.75%	-15.83%	-1.57%	-5.78%	-8.99%
Avg Days to Max Increase				20	11	10	16	5	2	6	4
2004 Contract Condition								Yes	Yes	Yes
Action								Yes	No	Yes
High			1400.00	1434.00	1453.50	1476.50	1557.00	1516.00	1495.00	1511.00	1471.00
Low			1312.00	1340.50	1369.50	1391.50	1468.50	1460.00	1369.00	1400.00	1372.50
Close/Last			1312.00	1424.00	1432.00	1473.00	1498.00	1475.00	1441.50	1403.00	1467.00