|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for DJIA Index as of May 31, 2010 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
|
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
|
25 |
28 |
29 |
29 |
22 |
28 |
28 |
21 |
20 |
24 |
27 |
| Exceeded High |
|
22 |
26 |
27 |
26 |
21 |
24 |
25 |
18 |
17 |
20 |
21 |
| Scenario Percentage |
|
88% |
93% |
93% |
90% |
95% |
86% |
89% |
86% |
85% |
83% |
78% |
| Avg Max Increase |
|
5.69% |
5.81% |
5.63% |
5.70% |
5.99% |
7.11% |
4.68% |
5.35% |
5.35% |
4.76% |
2.98% |
| Max Increase |
|
13.83% |
15.46% |
11.62% |
17.19% |
12.99% |
14.40% |
11.78% |
12.99% |
13.15% |
8.35% |
5.82% |
| Avg Days To Max Increase |
|
17 |
18 |
16 |
16 |
18 |
19 |
14 |
19 |
14 |
17 |
15 |
| Avg Max Decline |
|
-2.09% |
-2.23% |
-1.98% |
-1.62% |
-1.27% |
-1.86% |
-1.45% |
-1.73% |
-1.52% |
-1.98% |
-1.19% |
| Max Decline |
|
-7.49% |
-9.87% |
-6.68% |
-7.01% |
-3.24% |
-5.55% |
-5.22% |
-4.86% |
-4.42% |
-8.64% |
-3.38% |
| Avg Days to Max Decline |
|
10 |
12 |
8 |
9 |
11 |
11 |
5 |
13 |
8 |
10 |
3 |
| 2010 Contract Condition |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
|
|
| Action |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
Not Yet |
|
|
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
|
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
|
19 |
17 |
16 |
16 |
22 |
17 |
17 |
24 |
24 |
21 |
18 |
| Penetrated Low |
|
9 |
9 |
10 |
10 |
16 |
11 |
11 |
18 |
20 |
16 |
11 |
| Scenario Percentage |
|
47% |
53% |
63% |
63% |
73% |
65% |
65% |
75% |
83% |
76% |
61% |
| Avg Max Decline |
|
5.19% |
5.38% |
7.69% |
8.03% |
5.43% |
4.33% |
5.57% |
6.49% |
5.65% |
7.02% |
6.29% |
| Max Decline |
|
20.12% |
12.99% |
19.85% |
19.14% |
14.52% |
7.99% |
14.81% |
24.10% |
18.50% |
18.36% |
18.97% |
| Avg Days To Max Decline |
|
14 |
11 |
16 |
13 |
12 |
16 |
17 |
19 |
17 |
18 |
18 |
| Avg Max Increase |
|
-2.84% |
-1.29% |
-2.36% |
-1.44% |
-1.53% |
-2.44% |
-2.00% |
-2.20% |
-2.32% |
-2.40% |
-2.23% |
| Max Increase |
|
-9.20% |
-4.42% |
-6.32% |
-3.92% |
-4.03% |
-6.39% |
-4.78% |
-7.98% |
-5.83% |
-8.56% |
-5.14% |
| Avg Days to Max Increase |
|
5 |
8 |
6 |
8 |
6 |
11 |
6 |
9 |
11 |
8 |
6 |
| 2010 Contract Condition |
|
|
|
|
Yes |
|
|
|
Yes |
Yes |
|
|
| Action |
|
|
|
|
Yes |
|
|
|
Not Yet |
|
|
|
| High |
9918 |
10119 |
10496 |
10580 |
10730 |
10439 |
10955 |
11258 |
11178 |
10218 |
|
|
| Low |
9253 |
9430 |
9679 |
10236 |
10044 |
9835 |
10326 |
10844 |
9774 |
10014 |
|
|
| Close/Last |
9712 |
9713 |
10345 |
10428 |
10067 |
10325 |
10857 |
11009 |
10137 |
10024 |
|
|
|
|
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|
