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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for DJIA Index as of Jan 01, 2008
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 45 45 45 45 45 45 45 45 45 45 45
Closed Higher 31 23 29 27 22 21 23 26 17 26 28
Exceeded High 28 22 25 24 19 18 19 22 14 23 19
Scenario Percentage 90% 96% 86% 89% 86% 86% 83% 85% 82% 88% 68%
Avg Max Increase 5.53% 5.90% 6.70% 4.49% 4.87% 5.21% 4.60% 4.62% 6.00% 5.49% 3.33%
Max Increase 17.19% 12.99% 14.40% 11.78% 12.99% 13.15% 8.35% 16.09% 19.66% 13.83% 6.80%
Avg Days To Max Increase 16 18 19 14 18 15 18 15 22 17 17
Avg Max Decline -1.60% -1.22% -1.76% -1.50% -1.58% -1.46% -2.11% -1.96% -1.33% -2.25% -0.97%
Max Decline -7.01% -3.24% -5.55% -5.22% -2.92% -4.42% -8.64% -6.47% -4.75% -7.49% -4.81%
Avg Days to Max Decline 9 10 12 5 11 8 10 11 7 11 3
2007 Contract Condition Yes   Yes Yes Yes     Yes Yes Yes  
Action Yes   Yes Yes Yes     Yes Yes No  
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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 45 45 45 45 45 45 45 45 45 45 45
Closed Lower 14 21 16 18 23 23 22 19 28 18 17
Penetrated Low 9 15 11 12 17 19 17 16 20 8 14
Scenario Percentage 64% 71% 69% 67% 74% 83% 77% 84% 71% 44% 82%
Avg Max Decline 6.80% 4.84% 4.33% 5.25% 6.03% 5.65% 7.62% 7.33% 7.13% 3.32% 13.94%
Max Decline 11.05% 14.52% 7.99% 14.81% 24.10% 18.50% 20.87% 18.97% 37.75% 5.72% 39.81%
Avg Days To Max Decline 14 12 16 17 19 17 20 15 15 13 13
Avg Max Increase -1.17% -1.80% -2.44% -2.09% -2.33% -2.41% -2.49% -3.10% -2.47% -2.75% -4.16%
Max Increase -2.21% -4.03% -6.39% -4.78% -7.98% -5.83% -8.56% -7.37% -5.90% -9.20% -9.60%
Avg Days to Max Increase 8 6 11 6 10 12 9 13 7 6 19
2007 Contract Condition   Yes       Yes Yes       Yes
Action   Yes       Yes Yes       Yes
High 12657 12796 12511 13162 13673 13692 14022 13696 13925 14198 13924
Low 12337 12086 11940 12324 13041 13252 13200 12518 13022 13407 12724
Close/Last 12622 12269 12354 13063 13628 13409 13212 13358 13896 13930 13372

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