MRCI's ScenarioSM Study

ScenarioSM Study for September 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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		4	4	4	15	15	15	15	15	15	16	16
Closed Higher		2	1	3	8	5	9	10	7	7	8	8
Exceeded High		1	1	3	4	5	7	8	7	5	6	7
Scenario Percentage		50%	100%	100%	50%	100%	78%	80%	100%	71%	75%	88%
Avg Max Increase		5.53%	7.09%	4.97%	5.81%	9.49%	8.76%	9.15%	7.79%	10.20%	5.11%	3.99%
Max Increase		5.53%	7.09%	8.12%	13.43%	13.60%	17.38%	14.22%	14.72%	13.12%	8.95%	6.73%
Avg Days To Max Increase		22	8	10	11	26	24	16	22	22	10	9
Avg Max Decline		-1.43%	0.09%	-1.07%	1.65%	-3.62%	-1.30%	-2.67%	-3.08%	-2.89%	-3.16%	-1.30%
Max Decline		-1.43%	0.09%	-5.53%	0.84%	-6.20%	-6.15%	-8.94%	-5.88%	-5.71%	-6.41%	-2.52%
Avg Days to Max Decline		16	8	10	1	9	4	22	17	4	9	3
2011 Contract Condition		Yes		Yes	Yes	Yes		Yes			Yes
Action		Yes		Yes	Yes	Yes		No			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		4	4	4	15	15	15	15	15	15	16	16
Closed Lower		2	3	1	7	10	6	5	8	8	8	8
Penetrated Low		1	1	1	6	10	3	4	6	7	6	2
Scenario Percentage		50%	33%	100%	86%	100%	50%	80%	75%	88%	75%	25%
Avg Max Decline		22.33%	15.82%	17.63%	7.06%	8.12%	7.05%	15.13%	11.59%	8.38%	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	13	12	11	20	16	10	9	4
Avg Max Increase		-3.22%	-2.08%	1.39%	-2.58%	-2.40%	0.94%	-2.27%	-3.02%	-2.52%	-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	7	4	3	6	8	9	3	2
2011 Contract Condition			Yes				Yes		Yes	Yes		Yes
Action			No				No		Yes	Yes		Not Yet
High	2011.00	2121.00	2179.00	2231.50	2325.30	2389.80	2367.00	2407.00	2405.50	2327.00	2435.00	2394.50
Low	1810.00	1967.80	2084.30	2151.00	2239.80	2297.50	2203.00	2255.00	2296.00	2174.80	2313.00	1972.30
Close/Last	1987.80	2114.50	2110.00	2210.30	2274.80	2345.80	2333.50	2397.00	2368.00	2321.00	2359.30	2240.80