MRCI's ScenarioSM Study

ScenarioSM Study for December NASDAQ 100(CME) as of Dec 30, 2011
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		4	4	4	15	15	15	16	16	16	16	16
Closed Higher		1	2	2	10	7	8	8	8	10	11	11
Exceeded High		1	2	2	8	7	6	6	7	10	10	9
Scenario Percentage		100%	100%	100%	80%	100%	75%	75%	88%	100%	91%	82%
Avg Max Increase		5.06%	7.81%	10.47%	8.43%	7.05%	8.99%	6.59%	9.76%	11.88%	12.36%	5.28%
Max Increase		5.06%	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		18	26	26	17	21	22	15	21	20	8	6
Avg Max Decline		1.72%	-2.38%	0.43%	-2.27%	-2.35%	-1.10%	-2.83%	-2.11%	-4.22%	-1.21%	-0.99%
Max Decline		1.72%	-6.09%	-0.19%	-7.11%	-3.60%	-4.73%	-5.97%	-4.34%	-21.51%	-2.40%	-3.34%
Avg Days to Max Decline		1	8	1	18	15	3	9	14	7	4	2
2011 Contract Condition		Yes	Yes		Yes			Yes			Yes
Action		Yes	Yes		No			No			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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		4	4	4	15	15	15	16	16	16	16	16
Closed Lower		3	2	2	5	8	7	8	8	6	5	5
Penetrated Low		3	2		4	6	6	6	5	4	2
Scenario Percentage		100%	100%	0%	80%	75%	86%	75%	63%	67%	40%	0%
Avg Max Decline		7.27%	6.63%		13.82%	10.57%	7.24%	12.22%	13.58%	19.67%	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	15	25
Avg Max Increase		-3.91%	1.69%		-2.00%	-2.30%	-1.25%	-3.38%	-7.91%	-1.97%	-3.44%
Max Increase		-8.21%	1.16%		-3.71%	-8.52%	-4.86%	-9.09%	-24.96%	-6.40%	-3.85%
Avg Days to Max Increase		3	4		7	7	7	6	19	2	5
2011 Contract Condition				Yes		Yes	Yes		Yes	Yes		Yes
Action				No		Yes	Yes		No	Yes		Not Yet
High	2229.00	2322.80	2387.30	2364.50	2406.00	2402.00	2319.50	2428.00	2380.00	2333.00	2408.00	2400.00
Low	2148.50	2237.30	2295.00	2200.50	2273.00	2292.30	2185.00	2310.00	2030.00	2110.00	2035.00	2136.00
Close/Last	2207.80	2272.30	2343.30	2331.00	2393.50	2364.50	2315.50	2354.00	2235.80	2134.50	2356.00	2295.00