MRCI's ScenarioSM Study

ScenarioSM Study for NASDAQ 100 Index 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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		23	23	23	23	23	23	23	23	23	23	24
Closed Higher		17	11	15	12	16	11	11	14	14	15	15
Exceeded High		11	10	12	12	15	9	10	12	14	14	14
Scenario Percentage		65%	91%	80%	100%	94%	82%	91%	86%	100%	93%	93%
Avg Max Increase		9.61%	9.90%	9.39%	9.47%	5.59%	8.35%	6.58%	7.78%	10.15%	13.39%	6.65%
Max Increase		15.29%	15.72%	17.94%	16.40%	22.95%	12.17%	10.16%	19.67%	30.90%	42.20%	26.42%
Avg Days To Max Increase		22	20	22	16	13	19	16	18	20	15	12
Avg Max Decline		-1.94%	-2.60%	-2.97%	-2.92%	-2.14%	-1.27%	-2.92%	-2.86%	-4.42%	-2.13%	-1.08%
Max Decline		-12.33%	-7.29%	-9.12%	-8.23%	-4.49%	-4.08%	-7.48%	-6.44%	-20.96%	-5.04%	-3.62%
Avg Days to Max Decline		4	5	9	10	10	5	7	15	9	7	3
2008 Contract Condition				Yes	Yes	Yes		Yes	Yes
Action				Yes	Yes	Yes		Yes	No

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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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		23	23	23	23	23	23	23	23	23	23	24
Closed Lower		6	12	8	11	7	12	12	9	9	8	9
Penetrated Low		4	11	5	7	4	8	9	7	6	4	4
Scenario Percentage		67%	92%	63%	64%	57%	67%	75%	78%	67%	50%	44%
Avg Max Decline		8.04%	8.94%	8.07%	11.08%	12.88%	8.82%	12.98%	12.07%	20.62%	17.68%	8.49%
Max Decline		14.21%	29.33%	14.29%	23.28%	28.08%	18.55%	35.33%	25.91%	38.56%	33.74%	13.24%
Avg Days To Max Decline		20	17	16	22	19	14	15	13	17	20	13
Avg Max Increase		-1.59%	-3.50%	-1.84%	-3.68%	-3.79%	-1.56%	-2.98%	-5.85%	-2.96%	-2.25%	-5.70%
Max Increase		-2.73%	-15.77%	-2.98%	-6.74%	-9.11%	-4.07%	-9.38%	-23.92%	-6.78%	-3.58%	-19.32%
Avg Days to Max Increase		5	7	6	18	5	7	7	14	2	11	5
2008 Contract Condition		Yes	Yes				Yes			Yes	Yes	Yes
Action		Yes	Yes				Yes			Yes	Yes	Not Yet
High	2147.50	2094.00	1864.75	1831.75	1953.50	2050.75	2055.75	1874.75	1973.50	1912.50	1584.25	1382.50
Low	1999.50	1693.00	1714.75	1668.50	1776.50	1921.00	1829.25	1761.00	1802.00	1496.00	1149.00	1018.75
Close/Last	2084.75	1841.25	1745.25	1781.75	1917.50	2032.50	1837.00	1849.00	1872.50	1594.50	1334.75	1185.75