MRCI's ScenarioSM Study

ScenarioSM Study for December NASDAQ 100(CME) as of Sep 30, 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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	9	9	9	10	10	10	10	10
Closed Higher				5	4	6	4	4	6	7	9
Exceeded High				5	4	4	3	4	6	7	8
Scenario Percentage				100%	100%	67%	75%	100%	100%	100%	89%
Avg Max Increase				9.86%	7.68%	8.94%	4.87%	9.26%	14.44%	16.20%	5.60%
Max Increase				12.53%	14.62%	11.39%	9.68%	18.14%	29.75%	26.95%	9.44%
Avg Days To Max Increase				22	24	21	9	15	24	7	7
Avg Max Decline				-3.30%	-2.48%	-0.67%	-2.12%	-2.34%	-5.64%	-0.82%	-0.98%
Max Decline				-7.11%	-3.60%	-2.77%	-5.35%	-4.34%	-21.51%	-1.77%	-3.34%
Avg Days to Max Decline				16	15	2	3	20	12	3	2
2006 Contract Condition								Yes	Yes
Action								Yes	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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	9	9	9	10	10	10	10	10
Closed Lower				4	5	3	6	6	4	3	1
Penetrated Low				3	3	2	5	5	2	1
Scenario Percentage				75%	60%	67%	83%	83%	50%	33%	0%
Avg Max Decline				13.98%	13.38%	9.09%	13.69%	13.58%	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				21	20	3	15	15	19	30
Avg Max Increase				-2.30%	-3.29%	-0.37%	-3.46%	-7.91%	-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				7	7	3	6	19	1	6
2006 Contract Condition				Yes	Yes	Yes	Yes
Action				Yes	Yes	Yes	No
High			1764.00	1793.80	1762.80	1656.80	1620.50	1607.00	1682.50
Low			1729.50	1749.50	1605.50	1554.30	1479.80	1508.50	1578.00
Close/Last			1759.00	1750.00	1620.80	1610.50	1537.30	1601.80	1671.30