MRCI's ScenarioSM Study

ScenarioSM Study for NASDAQ 100 Index as of Jan 01, 2013
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		27	27	27	27	27	27	27	27	27	27	28
Closed Higher		19	14	18	15	17	13	15	16	17	17	17
Exceeded High		13	13	15	14	16	11	13	14	16	15	16
Scenario Percentage		68%	93%	83%	93%	94%	85%	87%	88%	94%	88%	94%
Avg Max Increase		9.56%	9.32%	9.03%	8.76%	6.10%	8.66%	7.16%	7.63%	9.86%	12.85%	6.31%
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	20	20	15	14	20	18	18	19	16	14
Avg Max Decline		-1.57%	-2.67%	-2.58%	-2.81%	-2.18%	-1.87%	-3.03%	-2.70%	-4.22%	-2.11%	-1.11%
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	5	7	9	11	6	9	13	10	7	4
2012 Contract Condition		Yes	Yes	Yes			Yes	Yes	Yes	Yes		Yes
Action		Yes	Yes	Yes			Yes	Yes	Yes	No		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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		27	27	27	27	27	27	27	27	27	27	28
Closed Lower		8	13	9	12	10	14	12	11	10	10	11
Penetrated Low		6	12	5	8	7	10	9	7	7	6	4
Scenario Percentage		75%	92%	56%	67%	70%	71%	75%	64%	70%	60%	36%
Avg Max Decline		7.61%	8.76%	8.07%	10.98%	10.15%	8.53%	12.98%	12.07%	18.31%	12.90%	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	20	14	12	15	13	15	16	13
Avg Max Increase		-3.01%	-3.27%	-1.84%	-3.37%	-2.77%	-1.78%	-2.98%	-5.85%	-2.64%	-2.07%	-5.70%
Max Increase		-9.02%	-15.77%	-2.98%	-6.74%	-9.11%	-4.87%	-9.38%	-23.92%	-6.78%	-3.58%	-19.32%
Avg Days to Max Increase		5	7	6	16	6	8	7	14	2	8	5
2012 Contract Condition					Yes	Yes					Yes
Action					Yes	Yes					Yes
High	2343.00	2481.50	2645.00	2794.00	2795.25	2756.75	2633.00	2663.00	2802.75	2878.25	2845.75	2701.75
Low	2209.50	2307.50	2474.25	2575.00	2628.75	2474.50	2443.75	2522.75	2606.50	2744.25	2636.75	2494.25
Close/Last	2277.75	2467.75	2623.00	2755.25	2723.50	2524.75	2615.50	2642.50	2772.00	2799.00	2647.75	2677.75