MRCI's ScenarioSM Study

ScenarioSM Study for December NASDAQ 100(CME) 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		1	1	1	12	12	12	13	13	13	13	13
Closed Higher					7	6	7	5	7	8	9	10
Exceeded High					7	6	5	4	6	8	9	8
Scenario Percentage					100%	100%	71%	80%	86%	100%	100%	80%
Avg Max Increase					8.54%	6.27%	8.30%	5.17%	9.77%	12.88%	13.56%	5.97%
Max Increase					12.53%	14.62%	11.52%	9.68%	18.14%	29.75%	26.95%	12.30%
Avg Days To Max Increase					18	20	21	10	22	22	9	8
Avg Max Decline					-2.08%	-2.38%	-0.37%	-2.16%	-2.13%	-4.57%	-1.14%	-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					18	12	2	3	16	8	2	2
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		1	1	1	12	12	12	13	13	13	13	13
Closed Lower		1	1	1	5	6	5	8	6	5	4	3
Penetrated Low		1	1		4	4	4	6	5	3	2
Scenario Percentage		100%	100%	0%	80%	67%	80%	75%	83%	60%	50%	0%
Avg Max Decline		10.01%	6.82%		13.82%	12.21%	7.52%	12.22%	13.58%	24.67%	25.10%
Max Decline		10.01%	6.82%		22.01%	26.24%	18.32%	35.81%	26.13%	36.68%	26.18%
Avg Days To Max Decline		10	10		19	20	10	15	15	19	25
Avg Max Increase		-0.83%	2.21%		-2.00%	-3.02%	-0.76%	-3.38%	-7.91%	-2.44%	-3.44%
Max Increase		-0.83%	2.21%		-3.71%	-8.52%	-1.43%	-9.09%	-24.96%	-6.40%	-3.85%
Avg Days to Max Increase		1	5		7	5	4	6	19	1	5
2008 Contract Condition		Yes	Yes				Yes			Yes	Yes	Yes
Action		Yes	Yes				Yes			Yes	Yes	Not Yet
High	2232.50	2147.50	1909.00	1841.30	1956.50	2054.80	2075.00	1881.30	1975.50	1918.00	1600.50	1388.50
Low	2121.50	1839.50	1776.80	1703.80	1810.80	1975.30	1854.80	1791.00	1820.50	1490.00	1138.00	1016.00
Close/Last	2177.30	1893.30	1776.80	1804.00	1939.80	2053.80	1854.80	1862.50	1882.50	1604.50	1337.00	1186.00