MRCI's ScenarioSM Study

ScenarioSM Study for December NASDAQ 100(CME) as of Jan 01, 2010
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		2	2	2	13	13	13	14	14	14	14	14
Closed Higher				1	8	7	8	6	8	9	9	11
Exceeded High				1	8	7	6	5	7	9	9	9
Scenario Percentage				100%	100%	100%	75%	83%	88%	100%	100%	82%
Avg Max Increase				15.93%	8.43%	7.05%	8.99%	6.06%	9.76%	12.08%	13.56%	5.61%
Max Increase				15.93%	12.53%	14.62%	12.41%	9.68%	18.14%	29.75%	26.95%	12.30%
Avg Days To Max Increase				29	17	21	22	12	21	21	9	8
Avg Max Decline				1.05%	-2.27%	-2.35%	-1.10%	-2.20%	-2.11%	-4.50%	-1.14%	-0.99%
Max Decline				1.05%	-7.11%	-3.60%	-4.73%	-5.35%	-4.34%	-21.51%	-2.40%	-3.34%
Avg Days to Max Decline				1	18	15	3	6	14	8	2	2
2009 Contract Condition				Yes	Yes	Yes	Yes	Yes	Yes	Yes		Yes
Action				Yes	Yes	Yes	Yes	Yes	Yes	Yes		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		2	2	2	13	13	13	14	14	14	14	14
Closed Lower		2	2	1	5	6	5	8	6	5	5	3
Penetrated Low		2	2		4	4	4	6	5	3	2
Scenario Percentage		100%	100%	0%	80%	67%	80%	75%	83%	60%	40%	0%
Avg Max Decline		10.70%	6.63%		13.82%	12.21%	7.52%	12.22%	13.58%	24.67%	25.10%
Max Decline		11.40%	6.82%		22.01%	26.24%	18.32%	35.81%	26.13%	36.68%	26.18%
Avg Days To Max Decline		9	9		19	20	10	15	15	19	25
Avg Max Increase		-4.52%	1.69%		-2.00%	-3.02%	-0.76%	-3.38%	-7.91%	-2.44%	-3.44%
Max Increase		-8.21%	1.16%		-3.71%	-8.52%	-1.43%	-9.09%	-24.96%	-6.40%	-3.85%
Avg Days to Max Increase		3	4		7	5	4	6	19	1	5
2009 Contract Condition		Yes	Yes								Yes
Action		Yes	Yes								Not Yet
High	1248.80	1276.30	1279.00	1277.30	1395.50	1437.50	1502.50	1604.80	1658.00	1754.00	1780.00	1815.00
Low	1103.30	1150.30	1114.50	1047.30	1253.00	1344.80	1420.80	1405.30	1562.50	1590.50	1649.80	1650.00
Close/Last	1217.50	1182.00	1119.30	1240.00	1395.50	1436.80	1475.00	1599.80	1622.80	1717.50	1665.50	1767.50