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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September NASDAQ 100(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Feb Feb Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years         11 11 11 11 11 11 12 12
Closed Higher         7 3 7 6 5 6 4 6
Exceeded High         3 3 5 6 5 4 3 6
Scenario Percentage         43% 100% 71% 100% 100% 67% 75% 100%
Avg Max Increase         6.07% 10.56% 8.05% 9.58% 7.87% 9.47% 5.08% 5.11%
Max Increase         13.43% 13.60% 17.38% 14.22% 14.72% 11.75% 9.89% 10.95%
Avg Days To Max Increase         9 25 22 19 24 20 9 13
Avg Max Decline         1.63% -4.44% -1.99% -3.20% -3.33% -2.18% -2.42% -1.50%
Max Decline         0.84% -6.20% -6.15% -8.94% -5.88% -4.32% -5.86% -2.40%
Avg Days to Max Decline         2 10 6 24 16 3 3 6
2007 Contract Condition         Yes   Yes Yes Yes     Yes
Action         No   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 Feb Feb Feb Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years         11 11 11 11 11 11 12 12
Closed Lower         4 8 4 5 6 5 8 6
Penetrated Low         3 8 3 4 4 4 6 2
Scenario Percentage         75% 100% 75% 80% 67% 80% 75% 33%
Avg Max Decline         6.99% 8.54% 7.05% 15.13% 13.27% 9.23% 11.88% 11.95%
Max Decline         13.24% 28.90% 13.30% 24.35% 28.18% 18.69% 32.96% 22.92%
Avg Days To Max Decline         18 13 11 20 19 11 11 10
Avg Max Increase         -1.25% -3.35% 0.94% -2.27% -3.74% -2.53% -2.02% -5.73%
Max Increase         -3.44% -14.37% -1.20% -3.81% -10.92% -6.24% -4.84% -9.04%
Avg Days to Max Increase         11 4 3 6 6 9 3 2
2007 Contract Condition           Yes       Yes Yes  
Action           Yes       Yes Yes  
High       1873.50 1905.30 1901.30 1847.00 1931.30 1960.00 1974.50 2078.00 2007.00
Low       1807.00 1818.00 1796.30 1757.50 1812.00 1905.00 1898.50 1942.50 1813.00
Close/Last       1818.00 1846.50 1811.30 1812.80 1903.80 1957.30 1956.00 1945.80 1994.80

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