MRCI's ScenarioSM Study

ScenarioSM Study for NASDAQ 100 Index as of Dec 31, 1999
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		14	14	14	14	14	14	14	14	14	14	15
Closed Higher		13	9	10	8	11	6	8	9	10	9	9
Exceeded High		10	8	9	8	10	6	7	8	10	9	9
Scenario Percentage		77%	89%	90%	100%	91%	100%	88%	89%	100%	100%	100%
Avg Max Increase		10.25%	8.96%	9.23%	9.48%	5.70%	8.02%	6.78%	7.62%	10.56%	13.82%	7.88%
Max Increase		15.29%	14.62%	15.75%	16.40%	22.95%	12.17%	10.00%	19.67%	30.90%	42.20%	26.42%
Avg Days To Max Increase		22	19	23	18	10	17	19	16	18	16	13
Avg Max Decline		-2.03%	-2.13%	-3.87%	-3.62%	-2.00%	-0.98%	-2.99%	-3.42%	-5.47%	-2.31%	-1.11%
Max Decline		-12.33%	-7.29%	-9.12%	-8.23%	-4.49%	-1.44%	-7.48%	-6.44%	-20.96%	-5.04%	-3.48%
Avg Days to Max Decline		3	3	11	13	6	6	9	16	10	6	2
2009 Contract Condition
Action

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

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		14	14	14	14	14	14	14	14	14	14	15
Closed Lower		1	5	4	6	3	8	6	5	4	5	6
Penetrated Low			4	3	3	1	4	4	4	3	2	3
Scenario Percentage		0%	80%	75%	50%	33%	50%	67%	80%	75%	40%	50%
Avg Max Decline			8.16%	6.71%	5.95%	2.87%	9.77%	11.58%	9.69%	17.02%	6.65%	6.91%
Max Decline			14.56%	9.83%	6.42%	2.87%	15.43%	24.19%	16.02%	38.56%	7.01%	8.89%
Avg Days To Max Decline			17	17	25	12	16	13	12	15	20	10
Avg Max Increase			-2.73%	-2.16%	-4.51%	-2.71%	-1.75%	-2.07%	-8.13%	-3.72%	-1.39%	-1.16%
Max Increase			-4.42%	-2.98%	-6.74%	-2.71%	-4.07%	-5.54%	-23.92%	-6.78%	-2.36%	-1.77%
Avg Days to Max Increase			11	7	33	9	9	8	18	3	18	3
2009 Contract Condition
Action
High	1185.75
Low	1091.00
Close/Last	1130.00