MRCI's ScenarioSM Study

ScenarioSM Study for June NASDAQ 100(CME) as of Mar 31, 2006
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	9	9	9	9	9	9	9	9
Closed Higher				7	8	4	5	3	5	5	4
Exceeded High				7	8	3	2	3	3	3	3
Scenario Percentage				100%	100%	75%	40%	100%	60%	60%	75%
Avg Max Increase				19.71%	12.51%	12.25%	7.66%	11.60%	10.61%	12.79%	3.13%
Max Increase				41.49%	34.98%	16.63%	13.88%	15.74%	17.83%	14.35%	5.67%
Avg Days To Max Increase				20	18	17	28	25	26	18	5
Avg Max Decline				-0.28%	-0.39%	-3.64%	-4.62%	-4.87%	-3.94%	-2.16%	-1.13%
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
2006 Contract Condition					Yes		Yes		Yes
Action					Yes		No		Not Yet

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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	Jun	Jun	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	9	9	9	9	9	9	9	9
Closed Lower				2	1	5	4	6	4	4	5
Penetrated Low				2	1	4	3	6	3	3	3
Scenario Percentage				100%	100%	80%	75%	100%	75%	75%	60%
Avg Max Decline				20.60%	15.81%	11.50%	7.45%	11.04%	7.67%	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	21	15	12	18	10
Avg Max Increase				-3.56%	-18.01%	-9.24%	-1.54%	-5.11%	-1.47%	-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	15	6	4	6	4
2006 Contract Condition				Yes		Yes		Yes
Action				No		Yes		Yes
High			1640.00	1647.00	1735.50	1741.50	1789.50	1742.00	1737.50
Low			1600.50	1556.50	1613.50	1677.00	1704.00	1671.50	1652.50
Close/Last			1640.00	1614.50	1706.00	1677.00	1738.00	1693.00	1720.00