MRCI's ScenarioSM Study

ScenarioSM Study for December NASDAQ 100(CME) as of Oct 31, 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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	7	7	7	8	8	8	8	8
Closed Higher				5	2	5	3	4	4	6	7
Exceeded High				5	2	4	2	4	4	6	6
Scenario Percentage				100%	100%	80%	67%	100%	100%	100%	86%
Avg Max Increase				9.86%	11.29%	8.94%	6.66%	9.26%	17.06%	17.29%	6.38%
Max Increase				12.53%	14.62%	11.39%	9.68%	18.14%	29.75%	26.95%	9.44%
Avg Days To Max Increase				22	19	21	12	15	23	7	7
Avg Max Decline				-3.30%	-2.35%	-0.67%	-3.29%	-2.34%	-7.08%	-0.86%	-1.50%
Max Decline				-7.11%	-3.59%	-2.77%	-5.35%	-4.34%	-21.51%	-1.77%	-3.34%
Avg Days to Max Decline				16	14	2	4	20	12	3	2
2004 Contract Condition					Yes	Yes			Yes	Yes	Yes
Action					Yes	No			Yes	Not Yet

Copyright © 2003 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	7	7	7	8	8	8	8	8
Closed Lower				2	5	2	5	4	4	2	1
Penetrated Low				2	3	1	4	4	2	1
Scenario Percentage				100%	60%	50%	80%	100%	50%	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
2004 Contract Condition				Yes			Yes	Yes
Action				Yes			Yes	No
High			1452.00	1514.00	1475.00	1526.50	1499.50	1412.00	1447.00	1500.50	1498.50
Low			1376.50	1408.00	1394.50	1451.00	1370.00	1313.50	1370.50	1419.00	1482.00
Close/Last			1446.50	1408.00	1475.00	1526.50	1407.50	1375.00	1417.50	1490.00	1491.50