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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for DJIA Index as of Apr 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 27 16 26 28 30 28 23 29 28 21
Exceeded High   20 22 13 23 26 28 25 22 25 24 18
Scenario Percentage   83% 81% 81% 88% 93% 93% 89% 96% 86% 86% 86%
Avg Max Increase   4.76% 4.68% 6.54% 5.83% 5.81% 5.53% 5.89% 6.13% 6.97% 4.76% 3.15%
Max Increase   8.35% 16.09% 19.66% 13.83% 15.46% 11.62% 17.19% 12.99% 14.40% 11.78% 7.20%
Avg Days To Max Increase   17 15 22 18 18 16 16 19 20 14 15
Avg Max Decline   -1.98% -2.07% -1.53% -2.01% -2.16% -1.91% -1.66% -1.21% -1.79% -1.49% -0.88%
Max Decline   -8.64% -6.47% -4.75% -7.49% -9.87% -6.68% -7.01% -3.24% -5.55% -5.22% -2.88%
Avg Days to Max Decline   10 11 6 10 12 8 9 10 11 5 5
2011 Contract Condition   Yes   Yes Yes   Yes Yes Yes Yes Yes  
Action   Yes   Yes Yes   Yes Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 18 29 18 17 15 17 22 16 17 24
Penetrated Low   17 16 21 8 9 10 11 16 11 11 13
Scenario Percentage   81% 89% 72% 44% 53% 67% 65% 73% 69% 65% 54%
Avg Max Decline   7.62% 7.33% 8.28% 5.51% 5.38% 7.69% 7.51% 5.43% 4.33% 5.57% 4.71%
Max Decline   20.87% 18.97% 37.75% 20.12% 12.99% 19.85% 19.14% 14.52% 7.99% 14.81% 10.60%
Avg Days To Max Decline   20 15 16 14 11 16 12 12 16 17 16
Avg Max Increase   -2.49% -3.10% -2.36% -2.85% -1.29% -2.36% -1.54% -1.53% -2.44% -2.00% -1.46%
Max Increase   -8.56% -7.37% -5.90% -9.20% -4.42% -6.32% -3.92% -4.03% -6.39% -4.78% -3.88%
Avg Days to Max Increase   9 13 6 4 8 6 8 6 11 6 3
2011 Contract Condition     Yes     Yes           Yes
Action     No     No            
High 10594 10585 10720 10949 11248 11452 11625 12021 12391 12383 12833 12876
Low 9754 9614 9937 10016 10711 10929 11007 11574 11893 11555 12094 12785
Close/Last 9774 10466 10015 10788 11118 11006 11578 11892 12226 12320 12811 12807

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