MRCI's ScenarioSM Study

ScenarioSM Study for December NASDAQ 100(CME) as of Jan 01, 2007
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Feb	Feb	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years					10	10	10	11	11	11	11	11
Closed Higher					5	4	6	4	5	7	8	10
Exceeded High					5	4	4	3	5	7	8	8
Scenario Percentage					100%	100%	67%	75%	100%	100%	100%	80%
Avg Max Increase					9.88%	7.73%	8.97%	4.87%	9.40%	13.76%	14.83%	5.60%
Max Increase					12.53%	14.62%	11.52%	9.68%	18.14%	29.75%	26.95%	9.44%
Avg Days To Max Increase					22	24	21	9	20	25	9	7
Avg Max Decline					-3.30%	-2.48%	-0.67%	-2.13%	-2.17%	-5.19%	-1.03%	-1.10%
Max Decline					-7.11%	-3.60%	-2.77%	-5.35%	-4.34%	-21.51%	-2.40%	-3.34%
Avg Days to Max Decline					16	15	2	3	18	9	3	2
2006 Contract Condition									Yes	Yes	Yes	Yes
Action									Yes	Yes	Yes	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	Feb	Feb	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years					10	10	10	11	11	11	11	11
Closed Lower					5	6	4	7	6	4	3	1
Penetrated Low					4	4	3	5	5	2	1
Scenario Percentage					80%	67%	75%	71%	83%	50%	33%	0%
Avg Max Decline					13.82%	12.21%	8.88%	13.74%	13.58%	18.67%	26.18%
Max Decline					22.01%	26.24%	18.32%	35.81%	26.13%	32.73%	26.18%
Avg Days To Max Decline					19	20	9	15	15	19	30
Avg Max Increase					-2.00%	-3.02%	-0.53%	-3.48%	-7.91%	-3.78%	-3.03%
Max Increase					-3.71%	-8.52%	-0.94%	-9.09%	-24.96%	-6.40%	-3.03%
Avg Days to Max Increase					7	5	3	6	19	2	6
2006 Contract Condition					Yes	Yes	Yes	Yes
Action					Yes	Yes	Yes	No
High				1776.50	1793.80	1763.30	1656.80	1621.00	1607.00	1682.50	1757.50	1830.00
Low				1725.50	1749.50	1605.50	1554.30	1479.80	1508.50	1577.80	1638.00	1701.00
Close/Last				1759.00	1750.00	1620.80	1610.50	1537.30	1601.80	1671.30	1742.80	1794.80