MRCI's ScenarioSM Study

ScenarioSM Study for December NASDAQ 100(CME) as of Jan 10, 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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	6	6	6	7	7	7	7	7
Closed Higher				4	1	4	2	3	4	5	6
Exceeded High				4	1	3	1	3	4	5	6
Scenario Percentage				100%	100%	75%	50%	100%	100%	100%	100%
Avg Max Increase				9.28%	14.62%	8.13%	3.63%	9.93%	17.06%	20.87%	6.86%
Max Increase				12.53%	14.62%	10.28%	3.63%	18.14%	29.75%	26.95%	12.30%
Avg Days To Max Increase				23	31	19	6	15	23	8	8
Avg Max Decline				-4.25%	-3.59%	-0.92%	-1.24%	-2.09%	-7.08%	-0.99%	-1.50%
Max Decline				-7.11%	-3.59%	-2.77%	-1.24%	-4.34%	-21.51%	-1.77%	-3.34%
Avg Days to Max Decline				20	4	2	1	17	12	3	2
2002 Contract Condition										Yes	Yes
Action										Yes	Yes

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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	6	6	6	7	7	7	7	7
Closed Lower				2	5	2	5	4	3	2	1
Penetrated Low				2	3	1	4	4	2	1
Scenario Percentage				100%	60%	50%	80%	100%	67%	50%	0%
Avg Max Decline				20.49%	13.38%	17.99%	15.45%	15.81%	18.67%	26.18%
Max Decline				20.68%	26.24%	17.99%	35.81%	26.13%	32.73%	26.18%
Avg Days To Max Decline				24	20	5	16	16	19	30
Avg Max Increase				-2.43%	-3.29%	-0.94%	-4.24%	-9.31%	-3.72%	-3.03%
Max Increase				-3.40%	-8.52%	-0.94%	-9.09%	-24.96%	-6.28%	-3.03%
Avg Days to Max Increase				9	7	5	7	20	1	6
2002 Contract Condition				Yes	Yes	Yes	Yes	Yes	Yes
Action				Yes	Yes	Yes	Yes	Yes	Yes
High			1527.00	1503.50	1339.00	1205.00	1069.00	1056.50	981.00	1010.00	1136.00
Low			1456.00	1266.00	1168.00	1032.00	901.00	868.50	827.00	797.00	974.00
Close/Last			1479.50	1295.00	1221.50	1059.00	968.50	947.50	835.50	991.50	1117.00