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| MRCI's ScenarioSM Study |
| ScenarioSM Study for Dow Jones Transportation as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
35 |
37 |
| Closed Higher |
19 |
19 |
16 |
17 |
16 |
13 |
25 |
26 |
26 |
22 |
23 |
| Exceeded High |
15 |
13 |
13 |
13 |
12 |
13 |
23 |
23 |
24 |
20 |
17 |
| Scenario Percentage |
79% |
68% |
81% |
76% |
75% |
100% |
92% |
88% |
92% |
91% |
74% |
| Avg Max Increase |
6.13% |
9.12% |
8.55% |
8.68% |
9.87% |
9.67% |
8.45% |
9.61% |
10.36% |
8.38% |
5.50% |
| Max Increase |
13.13% |
18.46% |
21.28% |
20.57% |
23.10% |
28.84% |
21.24% |
25.95% |
25.42% |
18.44% |
9.77% |
| Avg Days To Max Increase |
18 |
21 |
14 |
16 |
18 |
19 |
17 |
19 |
17 |
16 |
15 |
| Avg Max Decline |
-2.69% |
-1.79% |
-1.99% |
-2.60% |
-2.00% |
-2.47% |
-2.13% |
-2.28% |
-2.22% |
-2.14% |
-0.95% |
| Max Decline |
-7.63% |
-6.04% |
-9.86% |
-8.96% |
-5.74% |
-8.35% |
-9.73% |
-6.05% |
-5.89% |
-6.91% |
-4.57% |
| Avg Days to Max Decline |
7 |
10 |
7 |
7 |
6 |
9 |
13 |
14 |
7 |
6 |
2 |
| 2005 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
| Action |
|
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
No |
|
Yes |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
35 |
37 |
| Closed Lower |
17 |
17 |
20 |
19 |
20 |
23 |
11 |
10 |
10 |
13 |
14 |
| Penetrated Low |
12 |
14 |
14 |
16 |
13 |
13 |
5 |
8 |
6 |
9 |
13 |
| Scenario Percentage |
71% |
82% |
70% |
84% |
65% |
57% |
45% |
80% |
60% |
69% |
93% |
| Avg Max Decline |
9.18% |
7.13% |
8.87% |
10.07% |
13.68% |
11.72% |
7.00% |
18.92% |
11.91% |
8.64% |
21.57% |
| Max Decline |
24.23% |
19.86% |
24.90% |
25.67% |
36.58% |
35.78% |
13.77% |
100.00% |
18.79% |
13.31% |
47.67% |
| Avg Days To Max Decline |
21 |
21 |
17 |
19 |
18 |
18 |
13 |
12 |
23 |
16 |
17 |
| Avg Max Increase |
-2.35% |
-4.22% |
-2.73% |
-1.86% |
-2.23% |
-2.86% |
-2.89% |
10.41% |
-3.65% |
-1.92% |
-3.87% |
| Max Increase |
-4.37% |
-11.81% |
-8.26% |
-5.77% |
-5.57% |
-6.66% |
-6.23% |
-5.12% |
-7.41% |
-6.14% |
-12.31% |
| Avg Days to Max Increase |
8 |
10 |
7 |
6 |
9 |
8 |
17 |
7 |
7 |
5 |
9 |
| 2005 Contract Condition |
Yes |
|
|
Yes |
Yes |
|
|
|
|
Yes |
|
| Action |
Yes |
|
|
Yes |
No |
|
|
|
|
No |
|
| High |
3020.80 |
2974.90 |
3205.50 |
3212.40 |
3147.20 |
3271.60 |
3499.10 |
3665.70 |
3824.00 |
3817.40 |
3771.20 |
| Low |
2882.60 |
2785.50 |
2940.80 |
3014.40 |
2959.60 |
3085.10 |
3245.20 |
3436.40 |
3656.80 |
3454.70 |
3539.70 |
| Close/Last |
2886.40 |
2948.00 |
3204.30 |
3111.70 |
3105.50 |
3243.50 |
3497.40 |
3658.70 |
3798.10 |
3598.50 |
3726.60 |
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