MRCI's ScenarioSM Study

ScenarioSM Study for S & P 100(OEX) 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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	30	31	31	31	31	31	31	31	31	31	31
Closed Higher	19	17	20	17	19	18	13	19	10	18	23
Exceeded High	16	14	16	16	17	13	11	15	9	17	18
Scenario Percentage	84%	82%	80%	94%	89%	72%	85%	79%	90%	94%	78%
Avg Max Increase	67.04%	5.26%	5.87%	5.14%	4.49%	12.37%	4.12%	4.40%	7.53%	14.03%	7.20%
Max Increase	992.91%	10.82%	13.01%	12.10%	13.06%	63.49%	7.11%	15.82%	19.91%	131.91%	71.53%
Avg Days To Max Increase	17	18	18	18	21	18	15	14	21	19	16
Avg Max Decline	-7.12%	-1.09%	-1.73%	-8.16%	-1.61%	-2.86%	-1.56%	-1.36%	-1.91%	-2.34%	-0.98%
Max Decline	-90.81%	-4.03%	-5.15%	-99.66%	-5.41%	-13.45%	-4.32%	-3.13%	-7.74%	-16.41%	-5.32%
Avg Days to Max Decline	7	7	10	11	11	9	9	8	8	9	4
2006 Contract Condition	Yes	Yes	Yes	Yes			Yes	Yes	Yes	Yes	Yes
Action	Yes	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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	30	31	31	31	31	31	31	31	31	31	31
Closed Lower	11	14	11	13	12	13	18	12	21	13	8
Penetrated Low	9	10	8	7	7	8	13	10	14	5	7
Scenario Percentage	82%	71%	73%	54%	58%	62%	72%	83%	67%	38%	88%
Avg Max Decline	7.80%	14.73%	15.03%	17.54%	6.21%	7.90%	15.75%	6.58%	18.19%	21.38%	24.60%
Max Decline	38.13%	99.39%	99.63%	96.90%	27.26%	21.46%	89.01%	16.87%	91.59%	98.63%	96.88%
Avg Days To Max Decline	20	20	17	18	15	17	18	19	16	11	13
Avg Max Increase	-4.64%	-2.40%	-3.30%	-14.33%	-1.78%	-1.39%	-6.94%	-3.50%	-15.01%	-3.04%	-18.73%
Max Increase	-30.60%	-5.91%	-10.31%	-90.59%	-3.67%	-3.56%	-41.04%	-9.65%	-168.31%	-9.63%	-100.36%
Avg Days to Max Increase	8	9	11	7	6	12	8	13	9	2	22
2006 Contract Condition					Yes	Yes
Action					Yes	No
High	588.71	587.83	596.28	598.41	604.06	589.44	591.21	604.10	622.12	645.59	655.01
Low	569.44	568.37	578.20	580.63	572.17	559.02	562.88	582.57	597.00	617.72	634.30
Close/Last	578.77	580.82	587.75	595.89	581.20	579.56	588.74	602.03	620.03	640.57	649.64