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| MRCI's ScenarioSM Study |
| ScenarioSM Study for DJIA Index as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
26 |
22 |
22 |
23 |
27 |
14 |
26 |
29 |
32 |
30 |
24 |
| Exceeded High |
23 |
18 |
18 |
19 |
21 |
11 |
24 |
26 |
29 |
27 |
23 |
| Scenario Percentage |
88% |
82% |
82% |
83% |
78% |
79% |
92% |
90% |
91% |
90% |
96% |
| Avg Max Increase |
4.59% |
5.19% |
5.21% |
4.72% |
4.30% |
6.58% |
5.86% |
6.19% |
5.84% |
5.73% |
4.30% |
| Max Increase |
11.78% |
12.99% |
13.15% |
8.35% |
16.09% |
19.66% |
13.83% |
15.46% |
11.62% |
17.19% |
7.85% |
| Avg Days To Max Increase |
15 |
17 |
15 |
17 |
15 |
22 |
16 |
19 |
16 |
16 |
17 |
| Avg Max Decline |
-1.58% |
-1.41% |
-1.46% |
-2.15% |
-1.93% |
-1.32% |
-2.19% |
-2.26% |
-1.92% |
-1.68% |
-0.91% |
| Max Decline |
-5.22% |
-2.92% |
-4.42% |
-8.64% |
-6.47% |
-4.75% |
-7.49% |
-9.87% |
-6.68% |
-7.01% |
-2.57% |
| Avg Days to Max Decline |
6 |
9 |
8 |
9 |
11 |
7 |
10 |
12 |
7 |
9 |
5 |
| 2001 Contract Condition |
|
|
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
| Action |
|
|
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
19 |
23 |
22 |
22 |
18 |
31 |
17 |
16 |
13 |
15 |
20 |
| Penetrated Low |
14 |
17 |
16 |
17 |
15 |
22 |
8 |
8 |
7 |
9 |
18 |
| Scenario Percentage |
74% |
74% |
73% |
77% |
83% |
71% |
47% |
50% |
54% |
60% |
90% |
| Avg Max Decline |
6.05% |
6.62% |
5.98% |
7.80% |
7.61% |
6.84% |
3.32% |
4.43% |
6.32% |
6.75% |
12.67% |
| Max Decline |
21.05% |
24.10% |
18.50% |
20.87% |
18.97% |
37.75% |
5.72% |
8.99% |
11.20% |
11.05% |
32.07% |
| Avg Days To Max Decline |
16 |
20 |
18 |
20 |
15 |
16 |
13 |
9 |
14 |
14 |
13 |
| Avg Max Increase |
-2.01% |
-2.31% |
-2.44% |
-2.54% |
-3.16% |
-2.51% |
-2.75% |
-1.07% |
-2.41% |
-1.17% |
-3.36% |
| Max Increase |
-4.78% |
-7.98% |
-5.83% |
-8.56% |
-7.37% |
-5.90% |
-9.20% |
-4.42% |
-6.32% |
-2.21% |
-11.91% |
| Avg Days to Max Increase |
5 |
10 |
12 |
10 |
14 |
7 |
6 |
7 |
6 |
8 |
-28 |
| 2001 Contract Condition |
Yes |
Yes |
Yes |
|
|
Yes |
|
Yes |
|
|
Yes |
| Action |
No |
No |
No |
|
|
Yes |
|
No |
|
|
Yes |
| High |
11425 |
10971 |
10863 |
10875 |
11319 |
11401 |
10995 |
11007 |
10918 |
11028 |
11035 |
| Low |
10202 |
10259 |
10335 |
10393 |
10517 |
10567 |
9655 |
10292 |
10299 |
10468 |
10294 |
| Close/Last |
10734 |
10522 |
10448 |
10522 |
11215 |
10651 |
10971 |
10415 |
10788 |
10887 |
10495 |
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