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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Transportation as of Jun 01, 2011
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 39 41 41 41 41 41 41 41 41 41 41
Closed Higher 24 24 27 24 23 18 20 18 16 28 29
Exceeded High 22 21 23 19 15 15 16 13 16 25 22
Scenario Percentage 92% 88% 85% 79% 65% 83% 80% 72% 100% 89% 76%
Avg Max Increase 8.09% 7.96% 10.23% 6.46% 9.01% 8.68% 8.43% 9.95% 9.51% 8.13% 5.04%
Max Increase 18.44% 19.65% 28.84% 13.13% 18.46% 21.28% 20.57% 23.10% 28.84% 21.24% 13.43%
Avg Days To Max Increase 17 19 18 16 22 14 17 18 18 17 18
Avg Max Decline -2.31% -1.89% -1.59% -2.29% -2.38% -2.23% -2.97% -2.05% -2.44% -2.10% -0.80%
Max Decline -7.65% -5.47% -4.23% -7.63% -6.67% -9.86% -9.32% -5.74% -8.35% -9.73% -2.36%
Avg Days to Max Decline 8 10 8 6 12 7 8 6 7 12 4
2010 Contract Condition   Yes Yes Yes     Yes   Yes Yes Yes
Action   Yes Yes No     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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 39 41 41 41 41 41 41 41 41 41 41
Closed Lower 15 17 14 17 18 23 21 23 25 13 12
Penetrated Low 11 12 8 12 15 17 18 13 15 7 10
Scenario Percentage 73% 71% 57% 71% 83% 74% 86% 57% 60% 54% 83%
Avg Max Decline 9.98% 7.39% 10.21% 9.18% 7.37% 8.66% 9.86% 13.68% 13.30% 8.85% 20.82%
Max Decline 28.04% 14.60% 24.84% 24.23% 19.86% 24.90% 25.67% 36.58% 36.97% 25.13% 100.00%
Avg Days To Max Decline 14 14 24 21 20 16 18 18 18 12 8
Avg Max Increase -2.64% -2.02% -1.63% -2.35% -4.22% -2.81% -1.98% -2.23% -2.75% -3.02% 6.24%
Max Increase -9.19% -4.27% -5.28% -4.37% -11.81% -8.26% -5.77% -5.57% -6.66% -6.23% -14.72%
Avg Days to Max Increase 5 7 8 8 11 7 5 9 7 13 8
2010 Contract Condition Yes       Yes Yes   Yes      
Action Yes       Yes Yes   No      
High 4265.60 4143.80 4439.20 4812.90 4807.90 4514.10 4515.40 4524.80 4614.00 4824.00 4957.20
Low 3894.80 3742.00 4129.00 4357.10 4045.90 3983.20 3872.60 4010.50 4122.00 4417.90 4722.70
Close/Last 3895.50 4134.60 4374.60 4670.90 4336.10 4007.80 4422.90 4122.60 4522.30 4754.30 4855.80

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MRCI's seasonal and spread strategies have now been enhanced to provide history of up to 30 years for each strategy.  Starting with the September 2012 strategies, you will find a link in the upper right-hand corner which reads ”30-Year/Max Results”.  For markets which have been trading for more than 15 years, the link opens a new page detailing the strategy's hypothetical results for up to the most recent 30 years. For example, from here:  http://www.mrci.com/client/futures/strat/f4138.php CLICK on 30-Year Max Results in the top Right Hand Box.