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| MRCI's ScenarioSM Study |
| ScenarioSM Study for Dow Jones Transportation as of Apr 04, 2008 |
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 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
37 |
39 |
| Closed Higher |
21 |
21 |
17 |
17 |
16 |
14 |
27 |
27 |
26 |
24 |
23 |
| Exceeded High |
17 |
14 |
14 |
13 |
12 |
14 |
24 |
24 |
24 |
22 |
17 |
| Scenario Percentage |
81% |
67% |
82% |
76% |
75% |
100% |
89% |
89% |
92% |
92% |
74% |
| Avg Max Increase |
6.21% |
8.73% |
8.01% |
8.68% |
9.87% |
9.68% |
8.24% |
9.38% |
10.36% |
8.06% |
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 |
16 |
21 |
13 |
16 |
18 |
19 |
17 |
20 |
17 |
17 |
15 |
| Avg Max Decline |
-2.42% |
-2.07% |
-1.84% |
-2.60% |
-2.00% |
-2.35% |
-2.16% |
-2.39% |
-2.22% |
-2.31% |
-0.95% |
| Max Decline |
-7.63% |
-6.04% |
-9.86% |
-8.96% |
-5.74% |
-8.35% |
-9.73% |
-6.05% |
-5.89% |
-7.65% |
-4.57% |
| Avg Days to Max Decline |
6 |
10 |
7 |
7 |
6 |
8 |
12 |
14 |
7 |
8 |
2 |
| 2006 Contract Condition |
|
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
| Action |
|
Yes |
|
No |
|
Yes |
Yes |
Yes |
Yes |
Yes |
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 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
38 |
37 |
39 |
| Closed Lower |
17 |
17 |
21 |
21 |
22 |
24 |
11 |
11 |
12 |
13 |
16 |
| Penetrated Low |
12 |
14 |
15 |
18 |
13 |
14 |
5 |
9 |
7 |
9 |
15 |
| Scenario Percentage |
71% |
82% |
71% |
86% |
59% |
58% |
45% |
82% |
58% |
69% |
94% |
| Avg Max Decline |
9.18% |
7.13% |
9.08% |
9.86% |
13.68% |
11.61% |
7.00% |
18.32% |
11.89% |
8.64% |
20.80% |
| 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 |
18 |
18 |
18 |
13 |
13 |
23 |
16 |
17 |
| Avg Max Increase |
-2.35% |
-4.22% |
-3.06% |
-1.98% |
-2.23% |
-2.93% |
-2.89% |
8.60% |
-3.14% |
-1.92% |
-3.88% |
| Max Increase |
-4.37% |
-11.81% |
-8.26% |
-5.77% |
-5.57% |
-6.66% |
-6.23% |
-5.91% |
-7.41% |
-6.14% |
-12.31% |
| Avg Days to Max Increase |
8 |
10 |
8 |
5 |
9 |
7 |
17 |
8 |
6 |
5 |
11 |
| 2006 Contract Condition |
Yes |
|
Yes |
|
Yes |
|
|
|
|
|
|
| Action |
No |
|
No |
|
Yes |
|
|
|
|
|
|
| High |
3758.60 |
3649.30 |
3670.80 |
3822.00 |
3820.90 |
3746.40 |
3822.60 |
4190.60 |
4306.10 |
4376.40 |
4490.00 |
| Low |
3348.40 |
3375.80 |
3382.10 |
3473.30 |
3619.50 |
3570.70 |
3550.60 |
3811.00 |
4050.50 |
4059.90 |
4217.80 |
| Close/Last |
3426.40 |
3599.60 |
3487.80 |
3800.00 |
3680.90 |
3740.60 |
3815.50 |
4113.80 |
4196.00 |
4367.50 |
4436.40 |
|
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