|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for DJIA Index as of Sep 30, 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 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
30 |
24 |
28 |
26 |
21 |
21 |
24 |
26 |
16 |
26 |
29 |
| Exceeded High |
27 |
23 |
24 |
23 |
18 |
18 |
20 |
21 |
13 |
24 |
20 |
| Scenario Percentage |
90% |
96% |
86% |
88% |
86% |
86% |
83% |
81% |
81% |
92% |
69% |
| Avg Max Increase |
5.68% |
5.76% |
6.53% |
4.48% |
4.98% |
5.21% |
4.57% |
4.54% |
6.30% |
5.75% |
3.24% |
| Max Increase |
17.19% |
12.99% |
14.40% |
11.78% |
12.99% |
13.15% |
8.35% |
16.09% |
19.66% |
13.83% |
6.80% |
| Avg Days To Max Increase |
16 |
18 |
19 |
14 |
18 |
15 |
18 |
15 |
23 |
16 |
17 |
| Avg Max Decline |
-1.64% |
-1.20% |
-1.83% |
-1.56% |
-1.52% |
-1.46% |
-2.14% |
-1.93% |
-1.43% |
-2.20% |
-0.98% |
| Max Decline |
-7.01% |
-3.24% |
-5.55% |
-5.22% |
-2.92% |
-4.42% |
-8.64% |
-6.47% |
-4.75% |
-7.49% |
-4.81% |
| Avg Days to Max Decline |
9 |
10 |
12 |
6 |
11 |
8 |
10 |
11 |
7 |
11 |
3 |
| 2007 Contract Condition |
Yes |
|
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
| Action |
Yes |
|
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
15 |
20 |
17 |
19 |
24 |
23 |
21 |
19 |
29 |
18 |
16 |
| Penetrated Low |
9 |
14 |
12 |
13 |
18 |
18 |
16 |
16 |
21 |
8 |
13 |
| Scenario Percentage |
60% |
70% |
71% |
68% |
75% |
78% |
76% |
84% |
72% |
44% |
81% |
| Avg Max Decline |
6.80% |
5.00% |
5.77% |
6.45% |
6.49% |
5.60% |
7.76% |
7.33% |
7.03% |
3.32% |
13.48% |
| Max Decline |
11.05% |
14.52% |
21.64% |
21.05% |
24.10% |
18.50% |
20.87% |
18.97% |
37.75% |
5.72% |
39.81% |
| Avg Days To Max Decline |
14 |
12 |
17 |
17 |
20 |
17 |
20 |
15 |
16 |
13 |
12 |
| Avg Max Increase |
-1.17% |
-1.89% |
-2.27% |
-2.12% |
-2.24% |
-2.29% |
-2.42% |
-3.10% |
-2.46% |
-2.75% |
-4.25% |
| Max Increase |
-2.21% |
-4.03% |
-6.39% |
-4.78% |
-7.98% |
-5.83% |
-8.56% |
-7.37% |
-5.90% |
-9.20% |
-9.60% |
| Avg Days to Max Increase |
8 |
6 |
11 |
5 |
9 |
11 |
9 |
13 |
7 |
6 |
19 |
| 2007 Contract Condition |
|
Yes |
|
|
|
Yes |
Yes |
|
|
|
|
| Action |
|
Yes |
|
|
|
Yes |
Yes |
|
|
|
|
| High |
12657 |
12796 |
12511 |
13162 |
13673 |
13692 |
14022 |
13696 |
13925 |
14116 |
|
| Low |
12337 |
12086 |
11940 |
12324 |
13041 |
13252 |
13200 |
12518 |
13022 |
13894 |
|
| Close/Last |
12622 |
12268 |
12354 |
13063 |
13628 |
13409 |
13212 |
13358 |
13896 |
14088 |
|
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