MRCI's ScenarioSM Study

ScenarioSM Study for March NASDAQ 100(CME) as of Dec 31, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		2	2	2	13	14	14	14	14	14	14	14
Closed Higher		2	2	1	6	8	9	9	11	6	7	4
Exceeded High		2	2	1	5	7	9	8	11	5	2	3
Scenario Percentage		100%	100%	100%	83%	88%	100%	89%	100%	83%	29%	75%
Avg Max Increase		7.29%	6.21%	11.21%	5.81%	9.22%	11.75%	18.49%	11.09%	9.25%	6.99%	8.59%
Max Increase		7.65%	11.39%	11.21%	9.62%	17.17%	29.81%	41.20%	35.77%	16.77%	12.73%	12.19%
Avg Days To Max Increase		7	17	28	12	19	24	17	15	12	14	14
Avg Max Decline		-0.91%	-2.14%	-4.73%	-2.39%	-1.60%	-3.79%	-0.59%	-1.68%	-2.79%	0.42%	-1.70%
Max Decline		-3.63%	-2.47%	-4.73%	-5.34%	-2.82%	-20.93%	-3.91%	-4.51%	-12.63%	-0.72%	-6.48%
Avg Days to Max Decline		18	20	8	6	14	9	4	11	4	1	5
2010 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes		Yes	Yes		Yes
Action		Yes	Yes	Yes	Yes	Yes	Yes		Yes	Yes		Yes

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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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		2	2	2	13	14	14	14	14	14	14	14
Closed Lower				1	7	6	5	5	3	8	7	10
Penetrated Low				1	6	5	3	3	2	7	6	8
Scenario Percentage				100%	86%	83%	60%	60%	67%	88%	86%	80%
Avg Max Decline				2.63%	11.66%	12.50%	23.74%	21.88%	18.73%	9.94%	7.51%	5.29%
Max Decline				2.63%	33.68%	23.61%	35.45%	34.04%	19.72%	20.74%	14.32%	12.18%
Avg Days To Max Decline				15	15	15	19	21	13	19	13	12
Avg Max Increase				-1.38%	-3.04%	-5.95%	-0.67%	-3.45%	-10.64%	-7.85%	-3.15%	-2.12%
Max Increase				-1.38%	-9.10%	-24.14%	-6.08%	-5.52%	-18.53%	-17.58%	-9.13%	-6.43%
Avg Days to Max Increase				8	6	18	1	15	11	11	6	4
2010 Contract Condition								Yes			Yes
Action								No			Yes
High	1280.30	1398.50	1440.50	1505.50	1603.80	1639.30	1732.50	1775.00	1806.30	1882.00	1899.80	1832.50
Low	1050.30	1256.00	1347.80	1419.80	1404.30	1561.50	1585.00	1659.50	1663.00	1759.00	1731.00	1709.00
Close/Last	1243.00	1398.50	1439.80	1474.00	1598.80	1621.80	1715.50	1663.50	1765.00	1858.80	1739.30	1818.50