|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for DJIA Index as of Apr 30, 2011 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
|
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
|
24 |
27 |
16 |
26 |
28 |
30 |
28 |
23 |
29 |
28 |
21 |
| Exceeded High |
|
20 |
22 |
13 |
23 |
26 |
28 |
25 |
22 |
25 |
24 |
18 |
| Scenario Percentage |
|
83% |
81% |
81% |
88% |
93% |
93% |
89% |
96% |
86% |
86% |
86% |
| Avg Max Increase |
|
4.76% |
4.68% |
6.54% |
5.83% |
5.81% |
5.53% |
5.89% |
6.13% |
6.97% |
4.76% |
3.15% |
| Max Increase |
|
8.35% |
16.09% |
19.66% |
13.83% |
15.46% |
11.62% |
17.19% |
12.99% |
14.40% |
11.78% |
7.20% |
| Avg Days To Max Increase |
|
17 |
15 |
22 |
18 |
18 |
16 |
16 |
19 |
20 |
14 |
15 |
| Avg Max Decline |
|
-1.98% |
-2.07% |
-1.53% |
-2.01% |
-2.16% |
-1.91% |
-1.66% |
-1.21% |
-1.79% |
-1.49% |
-0.88% |
| Max Decline |
|
-8.64% |
-6.47% |
-4.75% |
-7.49% |
-9.87% |
-6.68% |
-7.01% |
-3.24% |
-5.55% |
-5.22% |
-2.88% |
| Avg Days to Max Decline |
|
10 |
11 |
6 |
10 |
12 |
8 |
9 |
10 |
11 |
5 |
5 |
| 2011 Contract Condition |
|
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
|
| Action |
|
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
|
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
|
21 |
18 |
29 |
18 |
17 |
15 |
17 |
22 |
16 |
17 |
24 |
| Penetrated Low |
|
17 |
16 |
21 |
8 |
9 |
10 |
11 |
16 |
11 |
11 |
13 |
| Scenario Percentage |
|
81% |
89% |
72% |
44% |
53% |
67% |
65% |
73% |
69% |
65% |
54% |
| Avg Max Decline |
|
7.62% |
7.33% |
8.28% |
5.51% |
5.38% |
7.69% |
7.51% |
5.43% |
4.33% |
5.57% |
4.71% |
| Max Decline |
|
20.87% |
18.97% |
37.75% |
20.12% |
12.99% |
19.85% |
19.14% |
14.52% |
7.99% |
14.81% |
10.60% |
| Avg Days To Max Decline |
|
20 |
15 |
16 |
14 |
11 |
16 |
12 |
12 |
16 |
17 |
16 |
| Avg Max Increase |
|
-2.49% |
-3.10% |
-2.36% |
-2.85% |
-1.29% |
-2.36% |
-1.54% |
-1.53% |
-2.44% |
-2.00% |
-1.46% |
| Max Increase |
|
-8.56% |
-7.37% |
-5.90% |
-9.20% |
-4.42% |
-6.32% |
-3.92% |
-4.03% |
-6.39% |
-4.78% |
-3.88% |
| Avg Days to Max Increase |
|
9 |
13 |
6 |
4 |
8 |
6 |
8 |
6 |
11 |
6 |
3 |
| 2011 Contract Condition |
|
|
Yes |
|
|
Yes |
|
|
|
|
|
Yes |
| Action |
|
|
No |
|
|
No |
|
|
|
|
|
|
| High |
10594 |
10585 |
10720 |
10949 |
11248 |
11452 |
11625 |
12021 |
12391 |
12383 |
12833 |
12876 |
| Low |
9754 |
9614 |
9937 |
10016 |
10711 |
10929 |
11007 |
11574 |
11893 |
11555 |
12094 |
12785 |
| Close/Last |
9774 |
10466 |
10015 |
10788 |
11118 |
11006 |
11578 |
11892 |
12226 |
12320 |
12811 |
12807 |
|
|
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