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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Transportation as of Dec 31, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 24 20 22 18 17 33 33 31 26 28
Exceeded High   21 16 16 18 13 17 30 29 29 24 19
Scenario Percentage   84% 67% 80% 82% 72% 100% 91% 88% 94% 92% 68%
Avg Max Increase   6.23% 8.51% 8.35% 6.96% 8.83% 10.37% 7.77% 8.65% 9.23% 7.98% 5.95%
Max Increase   13.17% 18.59% 21.17% 20.58% 22.99% 28.74% 21.22% 25.56% 25.49% 18.41% 9.81%
Avg Days To Max Increase   15 22 14 16 20 20 18 19 16 16 16
Avg Max Decline   -2.12% -2.57% -2.17% -2.83% -2.62% -2.59% -2.37% -2.24% -1.90% -2.28% -0.80%
Max Decline   -7.65% -6.65% -9.97% -9.31% -8.42% -8.89% -9.74% -6.04% -5.99% -7.66% -4.57%
Avg Days to Max Decline   6 11 7 8 10 8 13 13 7 9 2
2018 Contract Condition     Yes Yes   Yes Yes   Yes Yes    
Action     Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 20 25 23 27 27 12 11 14 19 17
Penetrated Low   13 17 17 20 15 16 5 9 7 14 12
Scenario Percentage   68% 85% 68% 87% 56% 59% 42% 82% 50% 74% 71%
Avg Max Decline   7.67% 6.63% 9.86% 10.19% 13.07% 12.03% 10.14% 9.47% 13.61% 8.37% 6.31%
Max Decline   16.85% 13.57% 24.93% 25.62% 36.57% 36.98% 25.14% 20.96% 18.76% 28.05% 14.61%
Avg Days To Max Decline   20 18 18 18 17 16 12 15 22 12 14
Avg Max Increase   -2.40% -3.53% -3.11% -1.85% -2.34% -2.86% -3.83% -2.71% -2.07% -2.58% -1.73%
Max Increase   -4.23% -11.88% -8.33% -5.73% -5.56% -6.67% -6.22% -5.92% -5.02% -9.17% -4.17%
Avg Days to Max Increase   6 10 9 7 11 8 16 8 4 5 4
2018 Contract Condition   Yes     Yes     Yes        
Action   Yes     Yes     Yes        
High 9639.00 9318.00 9200.00 9606.00 9764.00 9448.00 9935.00 10081.00 10348.00 10505.00    
Low 8798.00 8874.00 8744.00 9172.00 9147.00 9010.00 9237.00 9756.00 9420.00 10012.00    
Close/Last 9117.00 9098.00 9164.00 9564.00 9183.00 9319.00 9914.00 9758.00 10275.00 10393.00    

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