MRCI's ScenarioSM Study

ScenarioSM Study for September NASDAQ 100(CME) as of Oct 04, 2002
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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years	6	6	6	6	6	6	7	7
Closed Higher				4	2	4	4	1	4	2	3
Exceeded High				3	2	2	4	1	3	1	3
Scenario Percentage				75%	100%	50%	100%	100%	75%	50%	100%
Avg Max Increase				6.07%	10.45%	6.37%	9.88%	14.72%	8.70%	3.90%	6.27%
Max Increase				13.43%	13.60%	7.44%	13.09%	14.72%	10.78%	3.90%	10.50%
Avg Days To Max Increase				9	23	24	23	31	18	6	9
Avg Max Decline				1.63%	-3.56%	-5.15%	-4.74%	-4.33%	-2.23%	-1.30%	-1.38%
Max Decline				0.84%	-5.73%	-6.15%	-8.94%	-4.33%	-4.32%	-1.30%	-2.13%
Avg Days to Max Decline				2	10	13	21	4	4	1	2
2002 Contract Condition						Yes
Action						No

Copyright © 2001 Moore Research Center, Inc. All Rights Reserved.
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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years	6	6	6	6	6	6	7	7
Closed Lower				2	4	2	2	5	2	5	4
Penetrated Low				1	4	2	2	3	1	4	2
Scenario Percentage				50%	100%	100%	100%	60%	50%	80%	50%
Avg Max Decline				13.24%	12.17%	7.68%	23.24%	14.70%	18.60%	13.02%	9.03%
Max Decline				13.24%	28.90%	13.30%	23.50%	28.18%	18.60%	27.88%	17.08%
Avg Days To Max Decline				21	9	3	25	20	5	8	9
Avg Max Increase				1.18%	-5.57%	2.01%	-2.87%	-4.06%	-1.52%	-2.04%	-5.73%
Max Increase				1.18%	-14.37%	-0.64%	-3.50%	-10.92%	-1.52%	-4.84%	-9.04%
Avg Days to Max Increase				1	5	1	9	7	8	2	2
2002 Contract Condition				Yes	Yes		Yes	Yes	Yes	Yes	Yes
Action				Yes	Yes		Yes	Yes	Yes	Yes	Not Yet
High			1625.50	1695.00	1549.00	1572.00	1493.50	1332.50	1199.50	1070.00	1055.00
Low			1595.50	1521.50	1360.00	1446.00	1250.00	1162.00	985.00	873.00	858.00
Close/Last			1595.50	1567.50	1374.50	1469.50	1287.50	1215.50	1054.00	964.50	943.50