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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for DJIA Index as of May 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 28 29 29 22 28 28 21 20 24 27
Exceeded High   22 26 27 26 21 24 25 18 17 20 21
Scenario Percentage   88% 93% 93% 90% 95% 86% 89% 86% 85% 83% 78%
Avg Max Increase   5.69% 5.81% 5.63% 5.70% 5.99% 7.11% 4.68% 5.35% 5.35% 4.76% 2.98%
Max Increase   13.83% 15.46% 11.62% 17.19% 12.99% 14.40% 11.78% 12.99% 13.15% 8.35% 5.82%
Avg Days To Max Increase   17 18 16 16 18 19 14 19 14 17 15
Avg Max Decline   -2.09% -2.23% -1.98% -1.62% -1.27% -1.86% -1.45% -1.73% -1.52% -1.98% -1.19%
Max Decline   -7.49% -9.87% -6.68% -7.01% -3.24% -5.55% -5.22% -4.86% -4.42% -8.64% -3.38%
Avg Days to Max Decline   10 12 8 9 11 11 5 13 8 10 3
2010 Contract Condition   Yes Yes Yes   Yes Yes Yes        
Action   Yes Yes Yes   Yes Yes Not Yet        
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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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 17 16 16 22 17 17 24 24 21 18
Penetrated Low   9 9 10 10 16 11 11 18 20 16 11
Scenario Percentage   47% 53% 63% 63% 73% 65% 65% 75% 83% 76% 61%
Avg Max Decline   5.19% 5.38% 7.69% 8.03% 5.43% 4.33% 5.57% 6.49% 5.65% 7.02% 6.29%
Max Decline   20.12% 12.99% 19.85% 19.14% 14.52% 7.99% 14.81% 24.10% 18.50% 18.36% 18.97%
Avg Days To Max Decline   14 11 16 13 12 16 17 19 17 18 18
Avg Max Increase   -2.84% -1.29% -2.36% -1.44% -1.53% -2.44% -2.00% -2.20% -2.32% -2.40% -2.23%
Max Increase   -9.20% -4.42% -6.32% -3.92% -4.03% -6.39% -4.78% -7.98% -5.83% -8.56% -5.14%
Avg Days to Max Increase   5 8 6 8 6 11 6 9 11 8 6
2010 Contract Condition         Yes       Yes Yes    
Action         Yes       Not Yet      
High 9918 10119 10496 10580 10730 10439 10955 11258 11178 10218    
Low 9253 9430 9679 10236 10044 9835 10326 10844 9774 10014    
Close/Last 9712 9713 10345 10428 10067 10325 10857 11009 10137 10024    

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