MRCI's ScenarioSM Study

ScenarioSM Study for September NASDAQ 100(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		1	1	1	12	12	12	12	12	12	13	13
Closed Higher		1			7	3	7	7	6	6	5	7
Exceeded High					3	3	5	7	6	4	4	6
Scenario Percentage		0%			43%	100%	71%	100%	100%	67%	80%	86%
Avg Max Increase					6.07%	10.56%	8.05%	9.23%	6.77%	9.47%	5.24%	4.50%
Max Increase					13.43%	13.60%	17.38%	14.22%	14.72%	11.75%	8.95%	8.96%
Avg Days To Max Increase					9	25	22	17	21	20	8	9
Avg Max Decline					1.63%	-4.44%	-1.99%	-2.53%	-3.10%	-2.18%	-2.49%	-1.09%
Max Decline					0.84%	-6.20%	-6.15%	-8.94%	-5.88%	-4.32%	-5.86%	-2.13%
Avg Days to Max Decline					2	10	6	23	14	3	3	3
2008 Contract Condition		Yes					Yes	Yes	Yes		Yes	Yes
Action		No					Yes	Yes	Yes		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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		1	1	1	12	12	12	12	12	12	13	13
Closed Lower			1	1	5	9	5	5	6	6	8	6
Penetrated Low			1	1	4	9	3	4	4	5	6	2
Scenario Percentage			100%	100%	80%	100%	60%	80%	67%	83%	75%	33%
Avg Max Decline			15.82%	17.63%	7.63%	8.30%	7.05%	15.13%	13.27%	8.26%	11.03%	9.03%
Max Decline			15.82%	17.63%	13.24%	28.90%	13.30%	24.35%	28.18%	18.69%	27.88%	17.08%
Avg Days To Max Decline			25	6	16	12	11	20	19	12	10	9
Avg Max Increase			-2.08%	1.39%	-1.15%	-2.79%	0.94%	-2.27%	-3.74%	-2.46%	-2.02%	-5.73%
Max Increase			-2.08%	1.39%	-3.44%	-14.37%	-1.20%	-3.81%	-10.92%	-6.24%	-4.84%	-9.04%
Avg Days to Max Increase			10	3	8	4	3	6	6	7	3	2
2008 Contract Condition			Yes	Yes	Yes	Yes				Yes
Action			Yes	Yes	Yes	Yes				Yes
High	2196.80	2329.00	2309.30	2206.50	2121.50	1889.00	1833.00	1953.00	2058.00	2070.00	1886.80	1977.00
Low	2067.50	2196.30	2063.30	2095.50	1819.50	1766.80	1693.80	1803.50	1960.00	1835.00	1765.00	1804.00
Close/Last	2189.00	2329.00	2161.50	2151.30	1873.30	1766.80	1797.30	1931.50	2044.00	1846.00	1853.80	1875.00