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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Utilities 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   24 17 24 26 27 25 26 24 26 30 23
Exceeded High   16 16 24 20 21 21 23 18 23 25 16
Scenario Percentage   67% 94% 100% 77% 78% 84% 88% 75% 88% 83% 70%
Avg Max Increase   4.53% 5.56% 5.21% 5.68% 6.04% 4.73% 4.81% 6.47% 5.75% 5.18% 4.42%
Max Increase   9.67% 11.96% 19.81% 14.30% 11.22% 9.82% 23.61% 13.93% 17.91% 12.12% 7.74%
Avg Days To Max Increase   15 17 14 18 20 16 16 21 15 18 21
Avg Max Decline   -1.17% -2.32% -1.16% -1.44% -1.42% -1.39% -1.11% -1.87% -1.37% -1.53% -1.20%
Max Decline   -3.05% -11.63% -5.66% -5.98% -3.93% -4.42% -3.65% -6.64% -7.26% -6.05% -3.44%
Avg Days to Max Decline   8 12 6 9 7 5 6 12 7 7 5
2017 Contract Condition   Yes Yes   Yes Yes   Yes Yes   Yes  
Action   Yes 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 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   20 28 20 19 18 20 19 20 18 15 22
Penetrated Low   13 18 12 13 10 12 14 14 11 7 9
Scenario Percentage   65% 64% 60% 68% 56% 60% 74% 70% 61% 47% 41%
Avg Max Decline   7.87% 7.09% 6.31% 4.66% 9.80% 9.46% 6.88% 7.26% 12.17% 5.96% 3.20%
Max Decline   21.92% 12.86% 20.22% 12.12% 35.33% 31.91% 17.96% 38.37% 31.31% 15.65% 4.72%
Avg Days To Max Decline   17 17 20 17 22 17 17 13 18 11 10
Avg Max Increase   -1.25% -1.26% -1.31% -1.68% -1.90% -2.14% -2.17% -1.45% -2.10% -1.01% -0.98%
Max Increase   -4.80% -3.23% -3.69% -4.26% -5.76% -5.43% -6.43% -4.76% -6.99% -2.36% -1.89%
Avg Days to Max Increase   4 9 7 4 8 14 10 10 8 2 3
2017 Contract Condition       Yes     Yes     Yes    
Action       No     Yes     Not Yet    
High 665.95 669.10 704.95 710.00 711.45 729.00 738.80 728.05 750.30 755.35 728.40  
Low 622.90 648.35 654.15 683.45 691.10 691.40 704.55 697.75 722.95 716.60 722.70  
Close/Last 659.60 668.85 703.15 697.30 704.35 726.60 706.90 726.50 743.25 723.60 725.45  

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