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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, 2010
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 29 22 28 28 21 20 24 27 16 26 28
Exceeded High 26 21 24 25 18 17 20 22 13 23 20
Scenario Percentage 90% 95% 86% 89% 86% 85% 83% 81% 81% 88% 71%
Avg Max Increase 5.70% 5.99% 7.11% 4.68% 5.35% 5.35% 4.76% 4.68% 6.54% 5.78% 3.27%
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 14 17 15 22 17 18
Avg Max Decline -1.62% -1.27% -1.86% -1.45% -1.73% -1.52% -1.98% -2.07% -1.53% -2.01% -0.98%
Max Decline -7.01% -3.24% -5.55% -5.22% -4.86% -4.42% -8.64% -6.47% -4.75% -7.49% -4.81%
Avg Days to Max Decline 9 11 11 5 13 8 10 11 6 10 3
2009 Contract Condition     Yes Yes Yes   Yes Yes Yes Yes Yes
Action     Yes Yes 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 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 16 22 17 17 24 24 21 18 29 18 17
Penetrated Low 10 16 11 11 18 20 17 16 21 8 14
Scenario Percentage 62% 73% 65% 65% 75% 83% 81% 89% 72% 44% 82%
Avg Max Decline 8.03% 5.43% 4.33% 5.57% 6.49% 5.65% 7.62% 7.33% 8.28% 5.51% 12.60%
Max Decline 19.14% 14.52% 7.99% 14.81% 24.10% 18.50% 20.87% 18.97% 37.75% 20.12% 39.81%
Avg Days To Max Decline 13 12 16 17 19 17 20 15 16 14 13
Avg Max Increase -1.44% -1.53% -2.44% -2.00% -2.20% -2.32% -2.49% -3.10% -2.36% -2.85% -4.00%
Max Increase -3.92% -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 9 11 9 13 6 4 17
2009 Contract Condition Yes Yes       Yes          
Action Yes Yes       Yes          
High 9088 8315 7931 8308 8592 8878 9246 9630 9918 10119 10496
Low 7909 7034 6470 7484 8099 8259 8087 9117 9253 9430 9679
Close/Last 8001 7063 7609 8168 8500 8447 9172 9496 9712 9713 10345

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