MRCI's ScenarioSM Study

ScenarioSM Study for March NASDAQ 100(CME) as of Dec 30, 2011
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		3	3	3	14	15	15	15	15	15	15	15
Closed Higher		3	2	1	7	8	10	10	11	7	8	5
Exceeded High		2	2	1	6	7	10	9	11	6	3	3
Scenario Percentage		67%	100%	100%	86%	88%	100%	90%	100%	86%	38%	60%
Avg Max Increase		7.29%	6.21%	11.21%	6.27%	9.22%	11.57%	17.06%	11.09%	9.12%	6.47%	7.30%
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	15	19	22	18	15	13	14	13
Avg Max Decline		-0.91%	-2.14%	-4.73%	-2.85%	-1.60%	-3.56%	-0.70%	-1.68%	-2.29%	0.30%	-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	10	14	9	6	11	4	1	5
2011 Contract Condition		Yes			Yes		Yes	Yes		Yes	Yes	Yes
Action		No			Yes		Yes	Yes		Yes	Yes	Not Yet

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

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		3	3	3	14	15	15	15	15	15	15	15
Closed Lower			1	2	7	7	5	5	4	8	7	10
Penetrated Low			1	2	6	5	3	3	2	7	6	8
Scenario Percentage			100%	100%	86%	71%	60%	60%	50%	88%	86%	80%
Avg Max Decline			6.98%	1.80%	11.66%	12.50%	23.74%	21.88%	18.73%	9.94%	7.51%	5.11%
Max Decline			6.98%	2.63%	33.68%	23.61%	35.45%	34.04%	19.72%	20.74%	14.32%	12.18%
Avg Days To Max Decline			2	8	15	15	19	21	13	19	12	11
Avg Max Increase			-3.25%	-0.52%	-3.04%	-5.95%	-0.67%	-3.45%	-10.64%	-7.85%	-3.15%	-2.12%
Max Increase			-3.25%	-1.38%	-9.10%	-24.14%	-6.08%	-5.52%	-18.53%	-17.58%	-9.13%	-6.43%
Avg Days to Max Increase			18	4	6	18	1	15	11	11	6	4
2011 Contract Condition			Yes	Yes		Yes			Yes
Action			Yes	Yes		No			No
High	1958.00	2046.00	2020.50	1905.30	1882.80	1908.80	2017.00	2135.00	2190.00	2238.80	2345.50	2404.00
Low	1837.00	1944.50	1784.80	1733.30	1716.50	1761.30	1815.00	1964.00	2086.00	2156.50	2219.80	2280.80
Close/Last	1948.30	1992.00	1845.30	1733.30	1857.50	1761.30	1992.80	2119.50	2115.00	2216.00	2280.00	2350.80