MRCI's ScenarioSM Study

ScenarioSM Study for September NASDAQ 100(CME) as of Jan 01, 2010
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		2	2	2	13	13	13	13	13	13	14	14
Closed Higher		1		1	7	3	8	8	7	7	6	8
Exceeded High				1	3	3	6	8	7	5	5	7
Scenario Percentage		0%		100%	43%	100%	75%	100%	100%	71%	83%	88%
Avg Max Increase				5.06%	6.07%	10.56%	9.37%	9.15%	7.79%	10.20%	5.71%	4.56%
Max Increase				5.06%	13.43%	13.60%	17.38%	14.22%	14.72%	13.12%	8.95%	7.78%
Avg Days To Max Increase				6	9	25	23	16	22	22	9	10
Avg Max Decline				-5.53%	1.63%	-4.44%	-1.49%	-2.67%	-3.08%	-2.89%	-2.51%	-1.30%
Max Decline				-5.53%	0.84%	-6.20%	-6.15%	-8.94%	-5.88%	-5.71%	-5.86%	-2.52%
Avg Days to Max Decline				20	2	10	5	22	17	4	6	3
2009 Contract Condition				Yes			Yes	Yes	Yes	Yes	Yes	Yes
Action				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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		2	2	2	13	13	13	13	13	13	14	14
Closed Lower		1	2	1	6	10	5	5	6	6	8	6
Penetrated Low		1	1	1	5	10	3	4	4	5	6	2
Scenario Percentage		100%	50%	100%	83%	100%	60%	80%	67%	83%	75%	33%
Avg Max Decline		22.33%	15.82%	17.63%	8.39%	8.12%	7.05%	15.13%	13.27%	8.26%	9.86%	4.99%
Max Decline		22.33%	15.82%	17.63%	13.24%	28.90%	13.30%	24.35%	28.18%	18.69%	20.85%	9.00%
Avg Days To Max Decline		20	25	6	14	12	11	20	19	12	9	4
Avg Max Increase		-3.22%	-2.08%	1.39%	-2.56%	-2.40%	0.94%	-2.27%	-3.74%	-2.46%	-2.02%	-5.73%
Max Increase		-3.22%	-2.08%	1.39%	-8.23%	-14.37%	-1.20%	-3.81%	-10.92%	-6.24%	-4.84%	-9.04%
Avg Days to Max Increase		4	10	3	8	4	3	6	6	7	3	2
2009 Contract Condition		Yes	Yes		Yes	Yes
Action		Yes	No		Yes	Yes
High	1888.50	1607.00	1388.80	1245.80	1273.30	1276.00	1274.30	1392.50	1434.50	1512.00	1633.00	1670.00
Low	1538.50	1168.50	1045.00	1100.30	1147.30	1111.50	1044.30	1250.00	1341.80	1411.00	1392.00	1560.00
Close/Last	1632.00	1345.50	1193.30	1214.50	1179.00	1116.30	1237.00	1392.50	1433.80	1476.30	1602.00	1625.00