|
MRCI's ScenarioSM Study |
ScenarioSM Study for Dow Jones Transportation as of May 31, 2010 |
Condition 1:
Higher Monthly Close. Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
Tested Month |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Tested Years |
|
39 |
39 |
39 |
39 |
40 |
40 |
40 |
40 |
40 |
40 |
40 |
Closed Higher |
|
27 |
27 |
27 |
25 |
23 |
26 |
23 |
22 |
18 |
19 |
18 |
Exceeded High |
|
24 |
24 |
25 |
23 |
19 |
22 |
19 |
14 |
15 |
15 |
11 |
Scenario Percentage |
|
89% |
89% |
93% |
92% |
83% |
85% |
83% |
64% |
83% |
79% |
61% |
Avg Max Increase |
|
8.37% |
9.43% |
10.09% |
8.16% |
7.83% |
10.26% |
6.44% |
9.00% |
8.66% |
8.61% |
6.46% |
Max Increase |
|
21.22% |
26.14% |
25.49% |
18.41% |
19.90% |
28.84% |
13.17% |
18.59% |
21.17% |
20.58% |
11.59% |
Avg Days To Max Increase |
|
16 |
19 |
15 |
17 |
19 |
18 |
16 |
22 |
13 |
15 |
16 |
Avg Max Decline |
|
-2.27% |
-2.39% |
-2.08% |
-2.24% |
-1.96% |
-1.62% |
-2.29% |
-2.43% |
-2.25% |
-2.59% |
-1.67% |
Max Decline |
|
-9.74% |
-6.04% |
-5.99% |
-7.66% |
-5.48% |
-4.33% |
-7.65% |
-6.65% |
-9.97% |
-9.09% |
-5.70% |
Avg Days to Max Decline |
|
13 |
14 |
7 |
7 |
11 |
8 |
6 |
10 |
7 |
7 |
3 |
2010 Contract Condition |
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
|
|
Action |
|
|
Yes |
Yes |
|
Yes |
Yes |
Not Yet |
|
|
|
|
Condition 2:
Lower Monthly Close. Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
Tested Month |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Tested Years |
|
39 |
39 |
39 |
39 |
40 |
40 |
40 |
40 |
40 |
40 |
40 |
Closed Lower |
|
12 |
11 |
12 |
14 |
17 |
14 |
16 |
17 |
22 |
21 |
22 |
Penetrated Low |
|
5 |
8 |
6 |
10 |
12 |
8 |
11 |
14 |
16 |
18 |
12 |
Scenario Percentage |
|
42% |
73% |
50% |
71% |
71% |
57% |
69% |
82% |
73% |
86% |
55% |
Avg Max Decline |
|
11.78% |
8.03% |
13.42% |
10.63% |
7.28% |
10.20% |
8.95% |
7.10% |
9.03% |
9.90% |
9.24% |
Max Decline |
|
25.14% |
13.47% |
18.76% |
28.05% |
14.61% |
24.86% |
23.72% |
19.44% |
24.93% |
25.62% |
30.96% |
Avg Days To Max Decline |
|
17 |
15 |
23 |
15 |
14 |
24 |
21 |
20 |
16 |
18 |
21 |
Avg Max Increase |
|
-3.83% |
-2.88% |
-2.45% |
-2.59% |
-1.97% |
-1.62% |
-2.36% |
-4.23% |
-2.86% |
-1.96% |
-1.69% |
Max Increase |
|
-6.22% |
-5.92% |
-5.02% |
-9.17% |
-4.17% |
-5.22% |
-4.23% |
-11.88% |
-8.33% |
-5.73% |
-2.79% |
Avg Days to Max Increase |
|
17 |
9 |
4 |
5 |
8 |
7 |
7 |
10 |
8 |
5 |
4 |
2010 Contract Condition |
|
Yes |
|
|
Yes |
|
|
|
Yes |
Yes |
|
|
Action |
|
Yes |
|
|
Yes |
|
|
|
Not Yet |
|
|
|
High |
4056.00 |
4066.00 |
4060.00 |
4214.00 |
4266.00 |
4144.00 |
4439.00 |
4813.00 |
4808.00 |
4358.00 |
|
|
Low |
3572.00 |
3591.00 |
3546.00 |
3939.00 |
3895.00 |
3742.00 |
4129.00 |
4357.00 |
4046.00 |
4231.00 |
|
|
Close/Last |
3800.00 |
3613.00 |
3938.00 |
4100.00 |
3896.00 |
4135.00 |
4375.00 |
4671.00 |
4336.00 |
4233.00 |
|
|
|
|
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