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