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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Transportation as of Sep 30, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   26 27 31 25 24 20 22 18 17 33 33
Exceeded High   24 22 26 21 16 16 18 13 17 30 26
Scenario Percentage   92% 81% 84% 84% 67% 80% 82% 72% 100% 91% 79%
Avg Max Increase   7.93% 7.92% 9.15% 6.23% 8.51% 8.35% 6.96% 8.83% 10.37% 7.68% 4.47%
Max Increase   18.41% 16.40% 28.84% 13.17% 18.59% 21.17% 20.58% 22.99% 28.74% 21.22% 8.91%
Avg Days To Max Increase   17 20 18 15 22 14 16 20 20 18 16
Avg Max Decline   -2.32% -1.92% -1.98% -2.12% -2.57% -2.17% -2.83% -2.62% -2.59% -2.37% -1.02%
Max Decline   -7.66% -5.48% -6.03% -7.65% -6.65% -9.97% -9.31% -8.42% -8.89% -9.74% -3.96%
Avg Days to Max Decline   9 10 8 6 11 7 8 10 8 13 5
2017 Contract Condition   Yes Yes     Yes Yes   Yes Yes    
Action   Yes Yes     Yes Yes   Yes Not Yet    
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 18 14 19 20 25 23 27 27 12 11
Penetrated Low   14 13 8 13 17 17 20 15 16 5 8
Scenario Percentage   74% 72% 57% 68% 85% 68% 87% 56% 59% 42% 73%
Avg Max Decline   8.37% 6.92% 7.77% 7.67% 6.63% 9.86% 10.19% 13.07% 12.03% 10.14% 5.35%
Max Decline   28.05% 14.61% 14.59% 16.85% 13.57% 24.93% 25.62% 36.57% 36.98% 25.14% 9.13%
Avg Days To Max Decline   12 13 25 20 18 18 18 17 16 12 10
Avg Max Increase   -2.58% -1.93% -1.78% -2.40% -3.53% -3.11% -1.85% -2.34% -2.86% -3.83% -1.96%
Max Increase   -9.17% -4.17% -5.22% -4.23% -11.88% -8.33% -5.73% -5.56% -6.67% -6.22% -5.12%
Avg Days to Max Increase   5 7 10 6 10 9 7 11 8 16 2
2017 Contract Condition       Yes Yes     Yes     Yes  
Action       Yes Yes     Yes        
High 9490.00 9503.00 9566.00 9639.00 9318.00 9200.00 9606.00 9764.00 9448.00 9935.00 9931.00  
Low 8977.00 8980.00 9047.00 8798.00 8874.00 8744.00 9172.00 9147.00 9010.00 9237.00 9842.00  
Close/Last 9044.00 9192.00 9420.00 9117.00 9098.00 9164.00 9564.00 9183.00 9319.00 9914.00 9908.00  

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