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| MRCI's ScenarioSM Study |
| ScenarioSM Study for DJIA Index as of Jul 31, 2006 |
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 |
21 |
24 |
26 |
15 |
26 |
29 |
31 |
30 |
24 |
| Exceeded High |
23 |
18 |
18 |
20 |
21 |
12 |
24 |
26 |
28 |
27 |
23 |
| Scenario Percentage |
88% |
82% |
86% |
83% |
81% |
80% |
92% |
90% |
90% |
90% |
96% |
| Avg Max Increase |
4.59% |
4.98% |
5.21% |
4.52% |
4.30% |
6.34% |
5.86% |
5.90% |
5.75% |
5.67% |
4.28% |
| 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 |
18 |
15 |
17 |
15 |
23 |
16 |
18 |
16 |
16 |
17 |
| Avg Max Decline |
-1.58% |
-1.52% |
-1.46% |
-2.10% |
-1.93% |
-1.54% |
-2.19% |
-2.26% |
-1.93% |
-1.64% |
-0.90% |
| 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 |
11 |
8 |
9 |
11 |
7 |
10 |
13 |
7 |
9 |
5 |
| 2005 Contract Condition |
|
|
Yes |
|
Yes |
|
|
Yes |
Yes |
|
Yes |
| Action |
|
|
No |
|
Yes |
|
|
Yes |
No |
|
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 |
23 |
21 |
19 |
30 |
18 |
16 |
14 |
15 |
20 |
| Penetrated Low |
13 |
17 |
17 |
16 |
16 |
21 |
8 |
8 |
8 |
9 |
18 |
| Scenario Percentage |
68% |
74% |
74% |
76% |
84% |
70% |
44% |
50% |
57% |
60% |
90% |
| Avg Max Decline |
6.45% |
6.62% |
5.68% |
7.76% |
7.33% |
7.03% |
3.32% |
4.43% |
5.60% |
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 |
17 |
20 |
17 |
20 |
15 |
16 |
13 |
9 |
14 |
14 |
13 |
| Avg Max Increase |
-2.12% |
-2.31% |
-2.37% |
-2.42% |
-3.10% |
-2.46% |
-2.75% |
-1.07% |
-2.50% |
-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 |
9 |
13 |
7 |
6 |
7 |
6 |
8 |
-28 |
| 2005 Contract Condition |
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
|
Yes |
|
| Action |
Yes |
No |
|
Yes |
|
Yes |
No |
|
|
No |
|
| High |
10571 |
10386 |
10488 |
10448 |
10211 |
10363 |
10270 |
10603 |
10868 |
10867 |
10853 |
| Low |
10219 |
9852 |
10135 |
9914 |
9784 |
9978 |
9708 |
10010 |
10419 |
10369 |
10490 |
| Close/Last |
10226 |
10188 |
10436 |
10140 |
10174 |
10080 |
10028 |
10428 |
10783 |
10490 |
10766 |
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