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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for DJIA Index as of Sep 30, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec 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   27 27 30 29 25 22 26 24 16 27 31
Exceeded High   26 26 27 26 21 19 21 19 14 24 22
Scenario Percentage   96% 96% 90% 90% 84% 86% 81% 79% 88% 89% 71%
Avg Max Increase   5.84% 5.68% 6.47% 4.56% 5.10% 4.84% 4.23% 4.31% 6.41% 5.94% 3.13%
Max Increase   17.19% 12.99% 14.40% 11.78% 12.99% 13.15% 8.35% 16.09% 19.66% 13.83% 6.35%
Avg Days To Max Increase   16 16 18 15 20 16 17 15 21 19 19
Avg Max Decline   -1.49% -1.31% -1.80% -1.40% -1.87% -1.70% -2.17% -2.32% -1.58% -1.92% -1.22%
Max Decline   -7.01% -5.49% -5.55% -5.22% -4.86% -4.42% -8.64% -7.27% -4.75% -7.49% -4.81%
Avg Days to Max Decline   8 9 10 6 14 10 10 12 6 11 5
2017 Contract Condition   Yes 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 Dec 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   18 18 15 16 20 22 19 21 29 17 14
Penetrated Low   12 14 10 10 15 18 16 17 21 8 5
Scenario Percentage   67% 78% 67% 63% 75% 82% 84% 81% 72% 47% 36%
Avg Max Decline   6.78% 5.62% 4.05% 4.65% 6.03% 5.93% 8.02% 7.14% 8.08% 4.99% 4.40%
Max Decline   19.14% 14.52% 7.99% 10.25% 24.10% 18.50% 20.87% 18.97% 37.75% 20.12% 7.92%
Avg Days To Max Decline   10 11 16 16 14 16 20 13 15 11 7
Avg Max Increase   -1.36% -1.65% -2.29% -2.13% -2.15% -2.13% -2.46% -2.78% -2.24% -2.80% -0.53%
Max Increase   -3.92% -4.03% -6.39% -4.78% -7.98% -5.83% -8.56% -7.37% -5.90% -9.20% -1.64%
Avg Days to Max Increase   7 6 10 6 8 11 9 12 7 4 2
2017 Contract Condition       Yes                
Action       Yes                
High 19988 20126 20851 21169 21071 21112 21535 21930 22179 22420 22559  
Low 19139 19678 19831 20413 20380 20553 20994 21279 21600 21710 22416  
Close/Last 19763 19864 20812 20663 20941 21009 21350 21891 21948 22405 22558  

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