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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for DJIA Index as of Jun 01, 2011
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 28 23 29 28 21 20 24 26 16 26 28
Exceeded High 25 22 25 24 18 17 20 21 13 23 20
Scenario Percentage 89% 96% 86% 86% 86% 85% 83% 81% 81% 88% 71%
Avg Max Increase 5.89% 6.13% 6.97% 4.77% 5.35% 5.35% 4.63% 4.51% 6.69% 5.92% 3.27%
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 19 20 14 19 14 17 14 22 18 18
Avg Max Decline -1.66% -1.19% -1.79% -1.49% -1.73% -1.52% -2.20% -2.14% -1.51% -1.92% -0.98%
Max Decline -7.01% -3.24% -5.55% -5.22% -4.86% -4.42% -8.64% -6.47% -4.75% -7.49% -4.81%
Avg Days to Max Decline 9 10 11 5 13 8 11 12 6 10 3
2010 Contract Condition   Yes Yes Yes     Yes   Yes Yes  
Action   Yes Yes No     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 45 45 45 45 45 45 45 45 45 45 45
Closed Lower 17 22 16 17 24 24 21 19 29 18 17
Penetrated Low 11 16 11 11 18 21 17 16 21 8 14
Scenario Percentage 65% 73% 69% 65% 75% 88% 81% 84% 72% 44% 82%
Avg Max Decline 7.51% 5.43% 4.33% 5.55% 6.26% 5.46% 7.62% 7.33% 8.29% 5.51% 14.30%
Max Decline 19.14% 14.52% 7.99% 14.81% 24.10% 18.50% 20.87% 18.97% 37.75% 20.12% 39.81%
Avg Days To Max Decline 12 12 16 17 18 16 20 15 16 14 13
Avg Max Increase -1.53% -1.53% -2.44% -2.03% -2.43% -2.22% -2.49% -3.10% -2.35% -2.85% -4.36%
Max Increase -3.92% -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 6 10 10 9 13 6 4 19
2010 Contract Condition Yes       Yes Yes   Yes     Yes
Action Yes       Yes Yes   No     Yes
High 10730 10439 10955 11258 11178 10594 10585 10720 10949 11240 11452
Low 10044 9835 10377 10844 9774 9754 9614 9937 10016 10711 10929
Close/Last 10067 10325 10857 11009 10137 9774 10466 10015 10788 11118 11006

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