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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Transportation as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 36 37 37 37 37 37 37 37 37 37 37
Closed Higher 23 23 24 20 19 17 17 16 13 26 27
Exceeded High 21 19 20 16 12 14 13 12 13 24 21
Scenario Percentage 91% 83% 83% 80% 63% 82% 76% 75% 100% 92% 78%
Avg Max Increase 8.47% 7.83% 9.06% 6.19% 9.12% 7.98% 8.69% 9.86% 10.28% 8.27% 4.88%
Max Increase 18.41% 19.90% 17.50% 13.17% 18.59% 21.17% 20.58% 22.99% 28.74% 21.22% 13.73%
Avg Days To Max Increase 16 19 18 17 22 12 16 18 18 16 15
Avg Max Decline -2.07% -1.96% -1.66% -2.53% -1.81% -1.87% -2.65% -2.06% -1.89% -2.27% -0.91%
Max Decline -6.90% -5.48% -4.33% -7.65% -6.06% -9.97% -9.09% -5.70% -5.56% -9.74% -2.36%
Avg Days to Max Decline 5 11 8 7 8 7 7 6 7 13 4
2006 Contract Condition Yes Yes Yes Yes Yes Yes     Yes Yes  
Action Yes Yes Yes Yes No 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 36 37 37 37 37 37 37 37 37 37 37
Closed Lower 13 14 13 16 17 20 20 21 23 11 9
Penetrated Low 9 9 8 11 14 14 17 13 13 4 8
Scenario Percentage 69% 64% 62% 69% 82% 70% 85% 62% 57% 36% 89%
Avg Max Decline 8.69% 6.83% 10.20% 8.95% 7.10% 8.92% 9.84% 13.69% 11.66% 8.44% 11.81%
Max Decline 13.24% 13.11% 24.86% 23.72% 19.44% 24.93% 25.62% 36.57% 35.78% 13.72% 44.15%
Avg Days To Max Decline 15 15 24 21 20 17 18 18 17 16 9
Avg Max Increase -1.86% -2.55% -1.62% -2.36% -4.23% -2.71% -1.96% -2.27% -2.90% -3.44% -4.03%
Max Increase -5.74% -4.17% -5.22% -4.23% -11.88% -8.33% -5.73% -5.56% -6.67% -6.22% -14.76%
Avg Days to Max Increase 5 9 7 7 10 7 5 12 7 20 8
2006 Contract Condition             Yes Yes      
Action             Yes No      
High 4376.00 4490.00 4616.00 4762.00 5014.00 4930.00 4976.00 4560.00 4498.00 4818.00 4891.00
Low 4060.00 4218.00 4352.00 4566.00 4535.00 4410.00 4291.00 4135.00 4142.00 4416.00 4593.00
Close/Last 4368.00 4436.00 4568.00 4664.00 4670.00 4929.00 4382.00 4283.00 4453.00 4727.00 4727.00

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