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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, 2009
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   30 23 28 27 21 21 24 26 16 25 28
Exceeded High   27 22 24 24 18 18 20 21 13 22 19
Scenario Percentage   90% 96% 86% 89% 86% 86% 83% 81% 81% 88% 68%
Avg Max Increase   5.68% 5.90% 6.69% 4.51% 5.10% 5.21% 4.58% 4.59% 6.11% 5.63% 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 19 15 17 15 21 17 17
Avg Max Decline   -1.59% -1.22% -1.82% -1.48% -1.62% -1.46% -2.07% -2.05% -1.43% -2.09% -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 12 7 10 3
2008 Contract Condition         Yes     Yes Yes      
Action         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 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   15 21 17 18 24 23 21 19 29 19 17
Penetrated Low   9 15 11 12 18 19 17 16 21 9 8
Scenario Percentage   60% 71% 65% 67% 75% 83% 81% 84% 72% 47% 47%
Avg Max Decline   6.80% 5.23% 4.33% 5.25% 6.49% 5.72% 7.62% 7.33% 8.28% 5.19% 4.00%
Max Decline   11.05% 14.52% 7.99% 14.81% 24.10% 18.50% 20.87% 18.97% 37.75% 20.12% 7.92%
Avg Days To Max Decline   14 13 16 17 19 17 20 15 16 14 11
Avg Max Increase   -1.17% -1.63% -2.44% -2.09% -2.20% -2.36% -2.49% -3.10% -2.36% -2.84% -1.02%
Max Increase   -2.21% -4.03% -6.39% -4.78% -7.98% -5.83% -8.56% -7.37% -5.90% -9.20% -4.42%
Avg Days to Max Increase   8 6 11 6 9 11 9 13 6 5 3
2008 Contract Condition   Yes Yes Yes   Yes Yes     Yes Yes Yes
Action   No Yes No   Yes Yes     Yes Yes Not Yet
High 13780 13280 12768 12622 13010 13137 12638 11698 11867 11790 10883 9654
Low 13092 11635 12069 11732 12266 12443 11288 10828 11222 10365 7883 7449
Close/Last 13265 12650 12266 12263 12820 12638 11350 11378 11544 10851 9325 8829

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