MRCI's ScenarioSM Study

ScenarioSM Study for NASDAQ 100 Index 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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		25	25	25	25	25	25	25	25	25	25	26
Closed Higher		17	12	17	14	17	12	13	15	16	16	16
Exceeded High		11	11	14	13	16	10	12	13	16	15	15
Scenario Percentage		65%	92%	82%	93%	94%	83%	92%	87%	100%	94%	94%
Avg Max Increase		9.61%	10.20%	9.57%	9.39%	6.10%	8.81%	7.01%	7.92%	9.86%	12.85%	6.64%
Max Increase		15.29%	15.72%	17.94%	16.40%	22.95%	12.91%	10.16%	19.67%	30.90%	42.20%	26.42%
Avg Days To Max Increase		22	21	21	16	14	20	18	18	19	16	13
Avg Max Decline		-1.94%	-2.32%	-2.75%	-3.00%	-2.18%	-1.70%	-3.16%	-2.83%	-4.22%	-2.11%	-1.04%
Max Decline		-12.33%	-7.29%	-9.12%	-8.23%	-4.49%	-5.58%	-7.48%	-6.44%	-20.96%	-5.04%	-3.62%
Avg Days to Max Decline		4	4	7	10	11	5	10	14	10	7	3
2011 Contract Condition		Yes	Yes		Yes			Yes			Yes
Action		Yes	Yes		Yes			No			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		25	25	25	25	25	25	25	25	25	25	26
Closed Lower		8	13	8	11	8	13	12	10	9	9	10
Penetrated Low		6	12	5	7	5	9	9	7	6	5	4
Scenario Percentage		75%	92%	63%	64%	63%	69%	75%	70%	67%	56%	40%
Avg Max Decline		7.61%	8.76%	8.07%	11.08%	11.95%	8.09%	12.98%	12.07%	20.62%	14.32%	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		15	16	16	22	15	12	15	13	17	16	13
Avg Max Increase		-3.01%	-3.27%	-1.84%	-3.68%	-3.98%	-1.44%	-2.98%	-5.85%	-2.96%	-2.07%	-5.70%
Max Increase		-9.02%	-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	8	6	7	14	2	9	5
2011 Contract Condition				Yes		Yes	Yes		Yes	Yes		Yes
Action				No		Yes	Yes		No	Yes		Not Yet
High	2238.75	2336.00	2403.50	2375.50	2415.75	2417.75	2373.75	2438.25	2396.50	2337.50	2412.50	2402.50
Low	2150.50	2237.50	2284.50	2188.75	2254.75	2298.50	2180.75	2318.00	2034.75	2112.75	2042.75	2150.50
Close/Last	2217.75	2281.75	2350.75	2338.75	2404.00	2372.50	2325.00	2362.75	2241.00	2139.00	2360.00	2295.00