MRCI's ScenarioSM Study

ScenarioSM Study for December NASDAQ 100(CME) as of Dec 31, 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		3	3	3	14	14	14	15	15	15	15	15
Closed Higher			1	2	9	7	8	7	8	10	10	11
Exceeded High			1	2	8	7	6	6	7	10	10	9
Scenario Percentage			100%	100%	89%	100%	75%	86%	88%	100%	100%	82%
Avg Max Increase			12.94%	10.47%	8.43%	7.05%	8.99%	6.59%	9.76%	11.88%	12.37%	5.29%
Max Increase			12.94%	15.93%	12.53%	14.62%	12.41%	9.68%	18.14%	29.75%	26.95%	9.44%
Avg Days To Max Increase			23	26	17	21	22	15	21	20	9	8
Avg Max Decline			1.33%	0.43%	-2.27%	-2.35%	-1.10%	-2.83%	-2.11%	-4.22%	-1.21%	-0.99%
Max Decline			1.33%	-0.19%	-7.11%	-3.60%	-4.73%	-5.97%	-4.34%	-21.51%	-2.40%	-3.34%
Avg Days to Max Decline			1	1	18	15	3	9	14	7	4	2
2010 Contract Condition			Yes	Yes	Yes			Yes		Yes	Yes
Action			Yes	Yes	No			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		3	3	3	14	14	14	15	15	15	15	15
Closed Lower		3	2	1	5	7	6	8	7	5	5	4
Penetrated Low		3	2		4	5	5	6	5	3	2
Scenario Percentage		100%	100%	0%	80%	71%	83%	75%	71%	60%	40%	0%
Avg Max Decline		7.27%	6.63%		13.82%	11.17%	6.22%	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	16	8	15	15	19	25
Avg Max Increase		-3.91%	1.69%		-2.00%	-3.14%	-0.53%	-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	8	3	6	19	1	5
2010 Contract Condition		Yes				Yes	Yes		Yes			Yes
Action		Yes				Yes	Yes		No			Not Yet
High	1872.80	1887.00	1816.50	1960.50	2048.50	2023.00	1915.00	1894.00	1914.00	2032.00	2136.00	2197.50
Low	1763.50	1731.50	1727.30	1838.00	1947.00	1787.30	1735.00	1718.00	1749.00	1817.50	1961.00	2084.00
Close/Last	1854.80	1734.50	1813.80	1950.80	1994.50	1847.80	1735.80	1860.00	1763.80	1995.50	2122.00	2117.00